WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURES

Detalhes bibliográficos
Autor(a) principal: Müller, Fernanda Maria
Data de Publicação: 2018
Outros Autores: Righi, Marcelo Brutti, Amorin, Anderson Luis Walker
Tipo de documento: Artigo
Idioma: por
Título da fonte: REAd (Porto Alegre. Online)
Texto Completo: https://seer.ufrgs.br/index.php/read/article/view/78321
Resumo: This study investigates the copula model that best fit to model the dependence structure of Credit Derivative Swaps (CDS) spreads. For the analysis, we consider daily data from the period of January 1, 2009 to December 31, 2014. Regarding the models, we considered Vine copulas and Hierarchical Archimedean copulas, and different families of copulas. Our results indicate that C-Vine copulas, as well Student t family, demonstrated better performance, according to the criteria used to get the dependence structure. The best fit of the dependence structure can avoid the model risk, from the use of an incorrect model. 
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spelling WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURESCredit Derivative SwapsModel riskVine CopulasThis study investigates the copula model that best fit to model the dependence structure of Credit Derivative Swaps (CDS) spreads. For the analysis, we consider daily data from the period of January 1, 2009 to December 31, 2014. Regarding the models, we considered Vine copulas and Hierarchical Archimedean copulas, and different families of copulas. Our results indicate that C-Vine copulas, as well Student t family, demonstrated better performance, according to the criteria used to get the dependence structure. The best fit of the dependence structure can avoid the model risk, from the use of an incorrect model. Universidade Federal do Rio Grande do Sul2018-09-03info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionAvaliado pelos paresapplication/pdfhttps://seer.ufrgs.br/index.php/read/article/view/78321Electronic Review of Administration; Vol. 24 No. 2 (2018): MAIO / AGOSTO; 218-229Revista Electrónica de Administración; Vol. 24 Núm. 2 (2018): MAIO / AGOSTO; 218-229Revista Eletrônica de Administração; v. 24 n. 2 (2018): MAIO / AGOSTO; 218-2291413-23111980-4164reponame:REAd (Porto Alegre. Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/read/article/view/78321/49663Copyright (c) 2018 Revista Eletrônica de Administraçãoinfo:eu-repo/semantics/openAccessMüller, Fernanda MariaRighi, Marcelo BruttiAmorin, Anderson Luis Walker2018-09-03T23:12:12Zoai:seer.ufrgs.br:article/78321Revistahttp://seer.ufrgs.br/index.php/read/indexPUBhttps://seer.ufrgs.br/read/oaiea_read@ufrgs.br1413-23111413-2311opendoar:2018-09-03T23:12:12REAd (Porto Alegre. Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.none.fl_str_mv WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURES
title WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURES
spellingShingle WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURES
Müller, Fernanda Maria
Credit Derivative Swaps
Model risk
Vine Copulas
title_short WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURES
title_full WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURES
title_fullStr WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURES
title_full_unstemmed WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURES
title_sort WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURES
author Müller, Fernanda Maria
author_facet Müller, Fernanda Maria
Righi, Marcelo Brutti
Amorin, Anderson Luis Walker
author_role author
author2 Righi, Marcelo Brutti
Amorin, Anderson Luis Walker
author2_role author
author
dc.contributor.author.fl_str_mv Müller, Fernanda Maria
Righi, Marcelo Brutti
Amorin, Anderson Luis Walker
dc.subject.por.fl_str_mv Credit Derivative Swaps
Model risk
Vine Copulas
topic Credit Derivative Swaps
Model risk
Vine Copulas
description This study investigates the copula model that best fit to model the dependence structure of Credit Derivative Swaps (CDS) spreads. For the analysis, we consider daily data from the period of January 1, 2009 to December 31, 2014. Regarding the models, we considered Vine copulas and Hierarchical Archimedean copulas, and different families of copulas. Our results indicate that C-Vine copulas, as well Student t family, demonstrated better performance, according to the criteria used to get the dependence structure. The best fit of the dependence structure can avoid the model risk, from the use of an incorrect model. 
publishDate 2018
dc.date.none.fl_str_mv 2018-09-03
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Avaliado pelos pares
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://seer.ufrgs.br/index.php/read/article/view/78321
url https://seer.ufrgs.br/index.php/read/article/view/78321
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://seer.ufrgs.br/index.php/read/article/view/78321/49663
dc.rights.driver.fl_str_mv Copyright (c) 2018 Revista Eletrônica de Administração
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2018 Revista Eletrônica de Administração
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Federal do Rio Grande do Sul
publisher.none.fl_str_mv Universidade Federal do Rio Grande do Sul
dc.source.none.fl_str_mv Electronic Review of Administration; Vol. 24 No. 2 (2018): MAIO / AGOSTO; 218-229
Revista Electrónica de Administración; Vol. 24 Núm. 2 (2018): MAIO / AGOSTO; 218-229
Revista Eletrônica de Administração; v. 24 n. 2 (2018): MAIO / AGOSTO; 218-229
1413-2311
1980-4164
reponame:REAd (Porto Alegre. Online)
instname:Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS
instname_str Universidade Federal do Rio Grande do Sul (UFRGS)
instacron_str UFRGS
institution UFRGS
reponame_str REAd (Porto Alegre. Online)
collection REAd (Porto Alegre. Online)
repository.name.fl_str_mv REAd (Porto Alegre. Online) - Universidade Federal do Rio Grande do Sul (UFRGS)
repository.mail.fl_str_mv ea_read@ufrgs.br
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