Is tail risk priced in credit default swap premia?

dc.contributor.author	Meine, Christian
dc.contributor.author	Supper, Hendrik
dc.contributor.author	Weiß, Gregor N.F.
dc.date.accessioned	2013-06-26T09:34:29Z
dc.date.available	2013-06-26T09:34:29Z
dc.date.issued	2013-06-26
dc.description.abstract	We show that the propensity of a bank to experience extreme comovements in its credit default swap premia together with the market is priced in the bank’s default swap spread during the financial crisis. We measure a bank’s CDS tail beta by estimating the upper tail dependence between its default swap spreads and a credit default swap market index. Our study shows that protection sellers receive a premium for bearing the risk of extreme upward comovements in default risk. The economic significance of this effect is large yet limited to the recent financial crisis. Banks in the upper quintile of CDS tail beta have spreads that are on average 140 basis points higher than those of banks in the lower CDS tail beta quintile.	en
dc.identifier.uri	http://hdl.handle.net/2003/30406
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-10349
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;24/2013	en
dc.subject	asymmetric extreme dependence	en
dc.subject	CDS tail beta	en
dc.subject	copulas	en
dc.subject	credit default swaps	en
dc.subject	tail risk	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Is tail risk priced in credit default swap premia?	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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