Dynamic Asset Allocation with Credit Risk

Bian, Shibo; Zhang, Xiaoyang

doi:10.1007/978-3-642-19339-2_12

Cited by 1 publication

(1 citation statement)

References 13 publications

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“…As the 2008 global financial crisis swiftly expanded to all financial markets soon after it occurred in the USA, counter party credit risk became even more concerning. In the said period, the bankruptcy of rooted investment corporations such as Lehman Brothers which was founded in 1850, and the collapse of giant financial groups such as Bear Stearns, AIG, Fannie Mae, Freddie Mac, Merrill Lynch, and the Royal Bank of Scotland indicated catastrophic years in derivative markets in relation to risk management; hence, among the participants operating in financial markets, credit risk became synonymous with a giant threat and considered a major financial risk type [10,16,20].…”

Section: Credit Riskmentioning

confidence: 99%

The Relationship between Credit Default Swaps and Net Portfolio Investments: The Case of Turkey

Nar¹

2021

ujaf

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The aim of this study was to analyze the relationship between credit default swaps and net portfolio investments. Since the series remained stationary at varied levels in the study, the ARDL limit test approach was employed. In the analysis, 10 years of periodical data from 2010 to 2020 were compared. During the implementation of the ARDL limit test, it agreed to add a dummy variable to the model for months 2018M4 and 2020M3 upon the analysis of the CUSUM and CUSUM2 graphics; hence, in the final model, a dummy variable was also included. By means of diagnostic tests administered to the ARDL model that was repeated after the inclusion of the dummy variable, it became evident that the final model met the required hypotheses for the ARDL limit test, and it was thus feasible to interpret the long-and short-term coefficients. As the coefficients of final model attained, it was detected that an increase by 1% in short term risk premiums reduced current period net portfolio investments by 2.87%. However, it was evident that in the long term credit risk premiums have a small but positive and significant (p<0,05) effect on net portfolio investments.

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Section: Credit Riskmentioning

confidence: 99%

The Relationship between Credit Default Swaps and Net Portfolio Investments: The Case of Turkey

Nar¹

2021

ujaf

View full text Add to dashboard Cite

show abstract

Dynamic Asset Allocation with Credit Risk

Cited by 1 publication

References 13 publications

The Relationship between Credit Default Swaps and Net Portfolio Investments: The Case of Turkey

The Relationship between Credit Default Swaps and Net Portfolio Investments: The Case of Turkey

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