IDEAS home Printed from https://ideas.repec.org/a/ids/ijfmkd/v10y2024i1p35-46.html
   My bibliography  Save this article

The impact of CDX spreads on individual credit default swap contracts

Author

Listed:
  • Zagdbazar Davaadorj

Abstract

The study empirically tests whether CAPM can effectively explain the spread of CDSs by evaluating systematic risk within this market and examines the impact of the credit default swap index (CDX) on the pricing of individual CDS contracts across different sectors. The findings reveal the significant role of the CDX in signalling the overall health of the credit market and influencing individual CDS spreads, emphasising its importance for hedging purposes rather than for speculation. This study not only fills a critical gap by extending CAPM's testing to the CDS market but also provides nuanced insights into the dynamics of credit risk management, which are crucial for investors and policymakers engaged in the financial markets. These findings underscore the need for a deeper understanding of market-wide indicators and their impact on pricing and risk assessment in the evolving landscape of financial derivatives.

Suggested Citation

  • Zagdbazar Davaadorj, 2024. "The impact of CDX spreads on individual credit default swap contracts," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 10(1), pages 35-46.
    • Handle: RePEc:ids:ijfmkd:v:10:y:2024:i:1:p:35-46
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=140653
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijfmkd:v:10:y:2024:i:1:p:35-46. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=307 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.