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Credit Derivative Trading Strategies - Finance Train
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You can always find the topics here! Credit default swaps , Credit risk , Stock markets , Stock market indices , Transaction costs , Investment credit , Business structures , Crossovers , Arbitrage , Empirical evidence. Were these topics helpful?
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Moving Wall Moving Wall: Moving Wall The "moving wall" represents the time period between the last issue available in JSTOR and the most recently published issue of a journal. Terms Related to the Moving Wall Fixed walls: Journals with no new volumes being added to the archive.
Read Online Beta Read Online Free relies on page scans, which are not currently available to screen readers. To access this article, please contact JSTOR User Support. Add to your shelf. Subscribe to JPASS Monthly Plan. Abstract In the study reported, the CreditGrades model was used to calculate credit default swap spreads and the spreads were compared with empirically observed CDS spreads for eight iTraxx indices covering Europe.
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Theoretical and empirical spread changes were found to be significantly correlated. Also, lagged theoretical spread changes were correlated with current iTraxx spread changes. The correlations indicate a close relationship between the stock market and the CDS market and also indicate some predictive ability of the CreditGrades model.
Simple trading strategies based on the autocorrelation and predictive ability of the model produced positive profits, before trading costs, when trading was within the bid--ask spread.