Openly accessible

Is jump risk in iTraxx Sector Indices diversifiable?

Bhar, Ramaprasad and Wang, Peipei 2008, Is jump risk in iTraxx Sector Indices diversifiable?, Journal of fixed income, vol. 17, no. 4, Spring, pp. 42-56.

Attached Files
Name Description MIMEType Size Downloads
wang-isjumprisk-2008.pdf Published version application/pdf 3.13MB 5

Title Is jump risk in iTraxx Sector Indices diversifiable?
Author(s) Bhar, Ramaprasad
Wang, Peipei
Journal name Journal of fixed income
Volume number 17
Issue number 4
Season Spring
Start page 42
End page 56
Publisher Euromoney Institutional Investor
Place of publication London, England
Publication date 2008
ISSN 1059-8596
Keyword(s) risk assessment
stock price indexes
stochastic processes
default (finance)
credit
credit derivatives
Summary The article presents an analysis of jump risks in iTraxx Europe index in a multivariate structural time-series setting for the stochastic process, as well as in the credit default swap (CDS) market. It also examines the rapid development of the credit derivatives market, particularly the CDS market. This analysis found a significant Poisson-distributed jumps in the iTraxx Non-Financials index and its subindices. Based on a statistical analysis, nondiversifiable jump risk strongly exists in the CDS market.
Notes
Every reasonable effort has been made to ensure that permission has been obtained for items included in Deakin Research Online. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au

Language eng
Field of Research 140207 Financial Economics
Socio Economic Objective 970114 Expanding Knowledge in Economics
HERDC Research category C3.1 Non-refereed articles in a professional journal
Copyright notice ©2008, Euromoney Institutional Investor
Persistent URL http://hdl.handle.net/10536/DRO/DU:30021353

Document type: Journal Article
Collections: School of Accounting, Economics and Finance
Open Access Collection
Connect to link resolver
 
Link to Related Work
 
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.

Versions
Version Filter Type
Citation counts: Scopus Citation Count Cited 1 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 325 Abstract Views, 5 File Downloads  -  Detailed Statistics
Created: Mon, 14 Dec 2009, 12:33:19 EST by Gabrielle Lamb

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.