Abstract

LEON, Bernardo  and  MORA, Andrés. CDS: Relationship With Stock Indexes and Risk Measure. Ens. polit. econ. [online]. 2011, vol.29, n.spe64, pp.178-211. ISSN 0120-4483.

The main driver as a result of the recent financial crisis studies is the CDS behavior. Thus, we study the relationship between CDS and stock indices in countries like Greece, Spain and Italy due to the recent financial turmoil. Secondly, we analyze and show evidence on the link between deal spread on CDS of Republic of Colombia and COLCAP stock index. Then we focus on conditional VaR of these CDS before and during the credit crisis. We found that VaR estimates based on normal distribution assumption fails on CDS market analysis.

Keywords : CDS; VaR; EVT; stock indices.

        · abstract in Spanish | Portuguese     · text in Spanish     · Spanish ( pdf )