FRA-CDS-VDAX based credit crash model: A German conundrum

Title

FRA-CDS-VDAX based credit crash model: A German conundrum

Creator

Ghosh B.

Description

Often credit crash opens up the glaring research warts in finding credit pits. Robust German credit and interest rate derivative market have been under scrutiny to develop credit crash predictor by effective utilisation of a cobbled methodology encompassing various research tools (such as econometric, mathematical and machine-learning etc.) and the logical trio, namely forward rate agreement (FRA), credit default swap (CDS) and volatility index constructed on CBOE methodology (VDAX). Though setting up VDAX predictor is the first objective, yet the cross-dependence of various derivatives, threshold finding for sudden change (steep) in VDAX and linking the results with real life events remain the secondary objectives. The results point out a clear threshold for detecting credit pit and a prominent behavioural trace as well. Serials Publications Pvt. Ltd.

Source

International Journal of Economic Research, Vol-14, No. 8, pp. 221-228.

Date

2017-01-01

Publisher

Serials Publications

Subject

CDS; Comonotonicity; Credit pits; FRA; Neural network; VDAX

Coverage

Ghosh B., Institute of Management, Christ University, Bangalore, India

Rights

Restricted Access

Relation

ISSN: 9729380

Format

Online

Language

English

Type

Article

Identifier

https://www.scopus.com/inward/record.uri?eid=2-s2.0-85026393085&partnerID=40&md5=fd257ec43dd88d9604bb6e58add09733