Created by Paul Schempp

Empirische Zusammenhänge zwischen CDS-, Anleihen- und Aktienmärkten

Der Zusammenhang zwischen Aktien, Credit Default Swaps (CDS) und Anleihen eines Unternehmens bedarf genauer Untersuchung. In einem vorangehenden Artikel stellten wir die theoretischen Überlegungen zur gemeinsamen Modellierung von Eigen- und Fremdkapital dar. Nun geben wir einen Überblick über die empirischen Zusammenhänge dieser Märkte, um praktische Hinweise zur Kapitalstrukturarbitrage abzuleiten. Interessanterweise zeigen wir, dass CDS und Unternehmensanleihen unterschiedlich auf den Aktienmarkt reagieren und die Sensitivität von zusätzlichen Faktoren wie Kreditqualität beeinflusst wird.


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