Dynamics in the correlations of the Credit Default Swaps’ G14 dealers: Are there any contagion effects due to Lehman Brothers’ bankruptcy and the global financial crisis?

Irfan Akbar Kazi and Suzanne Salloy

No 2014-237, Working Papers from Department of Research, Ipag Business School

Abstract: This article investigates the dynamics of conditional correlation among the G14 banks’ dealer for the credit default swap market from January 2004 until May 2009. By using the asymmetric dynamic conditional correlation model developed by Cappiello, Eng

Keywords: Financial Crisis; Contagion; Credit Default Swap; Lehman Brothers; Asymmetric Dynamic Conditional Correlation. (search for similar items in EconPapers)
JEL-codes: G01 G15 G21 G33 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-ban
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Citations: View citations in EconPapers (10)

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