Journal of Risk Finance: Volume 15 Issue 5

Characteristics and development of corporate and sovereign CDS

Christina E. Bannier, Thomas Heidorn, Heinz-Dieter Vogel

This paper aims to provide an overview of the market for corporate and sovereign credit default swaps (CDS), with particular focus on Europe. It studies whether the subprime…

The relative informational efficiency of stocks, options and credit default swaps during the financial crisis

Maria Chiara Amadori, Lamia Bekkour, Thorsten Lehnert

This paper aims to investigate informational efficiency of stock, options and credit default swap (CDS) markets. Previous research suggests that informed traders prefer equity…

Capital requirements or pricing constraints?: An economic analysis of measures for insurance regulation

Sebastian Schlütter

– This paper aims to investigate the interaction between capital requirements and pricing constraints as measures for insurance regulation.

Life cycle and performance among SMEs: Swedish empirical evidence

Darush Yazdanfar, Peter Öhman

This study aims to empirically examine the applicability of the life cycle model of firm performance to growth and profitability among Swedish small- and medium-sized enterprises…

Herding behaviour and volatility in the Athens Stock Exchange

Petros Messis, Achilleas Zapranis

– This study aims to investigate the existence of herding in the Athens Stock Exchange over the 1995-2010 period and examine its effects on market volatility.

Generating historically-based stress scenarios using parsimonious factorization

Alexander Bogin, William Doerner

This paper aims to describe a robust empirical approach to generating plausible historically based interest rate shocks, which can be applied to any market environment. These…

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