An empirical analysis of Value at Risk and Expected Shortfall in CDS and Equity markets
In this study, I investigate the risk of holding credit default swaps (CDS) of 98 most liquid firms in CDX investment grade index compare the Value at Risk (VaR) and Expected Shortfall (ES) of a CDS position to the VaR and ES of holding the equity of respective firms over a sample period from Octobe...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2016
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| Online Access: | https://eprints.nottingham.ac.uk/36964/ |
| Summary: | In this study, I investigate the risk of holding credit default swaps (CDS) of 98 most liquid firms in CDX investment grade index compare the Value at Risk (VaR) and Expected Shortfall (ES) of a CDS position to the VaR and ES of holding the equity of respective firms over a sample period from October 2004 to December 2015 in the U.S.. Our finding confirms that the risk of trading a CDS position is correlated with the risk of trading a respective firm’s equity measured by VaR and ES. Also, seemingly unrelated regression suggest that firm-specific variables contribute more in the risk discovery of CDS and equity market than market and Macro variables. |
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