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

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Chen, Hsiao-Ling (2016) An empirical analysis of Value at Risk and Expected Shortfall in CDS and Equity markets. [Dissertation (University of Nottingham only)]

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Abstract

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.

Item Type: Dissertation (University of Nottingham only)
Keywords: Credit Default Swaps, Value at Risk, Expected Shortfall, Reduced form model, Seemingly Unrelated Regression
Depositing User: Chen, Hsiao-Ling
Date Deposited: 13 Mar 2017 15:07
Last Modified: 19 Oct 2017 23:18
URI: https://eprints.nottingham.ac.uk/id/eprint/36964

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