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Showing 1 to 3 of 3 for “"CDX Index"”.
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Essays in credit derivatives
… The event is when a CDS is included into the CDX index. This event changes the liquidity of CDS because they will be traded in the more liquid CDX market. If the CDS market is already liquid, we should observe no change in the level or correlation of CDS spreads. However, the spread levels do …
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Essays in MacroFinance
… theory correctly predicts that inclusion in the CDX index increases the underlying CDS basis. In Chapter 2, I study the use of secured and unsecured debt by nonfinancial firms for financing. I find that firms with a higher fraction of their assets pledged respond more strongly to contractionary …
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Three Essays in Empirical Asset Pricing
… The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as …