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/ |
| _version_ | 1848795366420381696 |
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| author | Chen, Hsiao-Ling |
| author_facet | Chen, Hsiao-Ling |
| author_sort | Chen, Hsiao-Ling |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T19:30:57Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-36964 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T19:30:57Z |
| publishDate | 2016 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-369642017-10-19T23:18:31Z https://eprints.nottingham.ac.uk/36964/ An empirical analysis of Value at Risk and Expected Shortfall in CDS and Equity markets Chen, Hsiao-Ling 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. 2016-09-16 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/36964/1/Dissertation%20Final.pdf Chen, Hsiao-Ling (2016) An empirical analysis of Value at Risk and Expected Shortfall in CDS and Equity markets. [Dissertation (University of Nottingham only)] Credit Default Swaps Value at Risk Expected Shortfall Reduced form model Seemingly Unrelated Regression |
| spellingShingle | Credit Default Swaps Value at Risk Expected Shortfall Reduced form model Seemingly Unrelated Regression Chen, Hsiao-Ling An empirical analysis of Value at Risk and Expected Shortfall in CDS and Equity markets |
| title | An empirical analysis of Value at Risk and Expected Shortfall in CDS and Equity markets |
| title_full | An empirical analysis of Value at Risk and Expected Shortfall in CDS and Equity markets |
| title_fullStr | An empirical analysis of Value at Risk and Expected Shortfall in CDS and Equity markets |
| title_full_unstemmed | An empirical analysis of Value at Risk and Expected Shortfall in CDS and Equity markets |
| title_short | An empirical analysis of Value at Risk and Expected Shortfall in CDS and Equity markets |
| title_sort | empirical analysis of value at risk and expected shortfall in cds and equity markets |
| topic | Credit Default Swaps Value at Risk Expected Shortfall Reduced form model Seemingly Unrelated Regression |
| url | https://eprints.nottingham.ac.uk/36964/ |