KAJUROVÁ, Veronika and Jana HVOZDENSKÁ. Linkages between bonds and credit default swaps of the European financial institutions. In Oleg Deev, Veronika Kajurová, Jan Krajíček. European Financial Systems 2013. Proceedings of the 10th International Scientific Conference. Brno: Masaryk University, 2013. p. 158-163. ISBN 978-80-210-6294-8.
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Basic information
Original name Linkages between bonds and credit default swaps of the European financial institutions
Authors KAJUROVÁ, Veronika (203 Czech Republic, guarantor, belonging to the institution) and Jana HVOZDENSKÁ (203 Czech Republic, belonging to the institution).
Edition Brno, European Financial Systems 2013. Proceedings of the 10th International Scientific Conference, p. 158-163, 6 pp. 2013.
Publisher Masaryk University
Other information
Original language English
Type of outcome Proceedings paper
Field of Study 50200 5.2 Economics and Business
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
Publication form printed version "print"
RIV identification code RIV/00216224:14560/13:00069274
Organization unit Faculty of Economics and Administration
ISBN 978-80-210-6294-8
UT WoS 000324654400022
Keywords in English credit default swap market; bond market; causality
Tags International impact, Reviewed
Changed by Changed by: Ing. Veronika Kajurová, Ph.D., učo 390048. Changed: 1/11/2013 15:38.
Abstract
Credit default swap markets have been considered as a leading indicator of the future development of creditworthiness, which can point out the potential situation in economy. The aim of the study is to find out whether the role of credit default swap markets and bond markets has been changed by the financial crisis and the debt crisis. The attention is paid to the credit default swaps and bonds of 22 financial institutions, which are included in Markit iTraxx Europe Senior Financial index. Granger causality tests are employed in order to discover short-run causality. Findings can be favourable for all participants in the financial markets, especially for investors and regulators as a possible indicator of credit risk.
Links
MUNI/A/0753/2012, interní kód MUName: Evropské finanční systémy 2013 (Acronym: EFS)
Investor: Masaryk University, Category A
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