CDX and iTraxx and their relation to the systemically important financial institutions: Evidence from the 2008-2009 financial crisis

CDX and iTraxx and their relation to the systemically important financial institutions: Evidence from the 2008-2009 financial crisis

This paper empirically investigates the linkages between the CDS index market and the equity returns of a sample of systemically important financial institutions (SIFIs). Both the 5- year investment grade iTraxx Europe and the 5-year investment grade CDX North America indexes are adopted as a market...

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Bibliographic Details
Main Author: Giovanni Calice
Format: Default Article
Published: 2014
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Credit default swap index
CDX
iTraxx
Systemically important financial
Financial stability
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/24210
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https://hdl.handle.net/2134/24210

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