An empirical analysis of Value at Risk and Expected Shortfall in CDS and Equity markets

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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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Bibliographic Details
Main Author:	Chen, Hsiao-Ling
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2016
Subjects:	Credit Default Swaps Value at Risk Expected Shortfall Reduced form model Seemingly Unrelated Regression
Online Access:	https://eprints.nottingham.ac.uk/36964/

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