Sebastian Lohr

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Working paper

31 Mar 2014

This paper analyses the pricing of systematic risk factors in credit default swap contracts in a two-stage empirical framework. In the first pass, we estimate contract specific sensitivities to several systematic risk factors by time-series regressions using quoted credit default swap (CDS) spreads of 339...

Working paper

30 Mar 2014

The market volume of credit derivatives increased rapidly from $180 billion in 1996 to over $57 trillion in 2008 (BBA, 2006; BIS, 2010). This growth rate highlights the importance of these new instruments in nancial markets. Consequences of the global nancial crisis (GFC), e.g., the...

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