Linkages between bonds and credit default swaps of the European financial institutions Cover Image

Linkages between bonds and credit default swaps of the European financial institutions
Linkages between bonds and credit default swaps of the European financial institutions

Author(s): Veronika Kajurová, Jana Hvozdenská
Subject(s): Evaluation research, Financial Markets
Published by: Masarykova univerzita
Keywords: credit default swap market; bond market; causality;
Summary/Abstract: Credit default swap markets have been considered as a leading indicator of the future development of credit worthiness, which can point out the potential situation in economy. The aim of the study is to find out whether the role of credit default swap markets and bond markets has been changed by the financial crisis and the debt crisis. The attention is paid to the credit default swaps and bonds of 22 financial institutions, which are included in Markit iTraxx Europe Senior Financial index.