Quotation Hofmarcher, Paul, Hornik, Kurt. 2010. First Significant Digits and the Credit Derivative Market During the Financial Crisis. Research Report Series, Institute for Statistics and Mathematics, Report 101.


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Abstract

In this letter we discuss the Credit Default Swap (CDS) market for European, Indian and US CDS entities during the financial crisis starting in 2007 using empirical First Significant Digit (FSD) distributions. We find out that on a time aggregated level the European and the US market obey empirical FSD distributions similar to the theoretical ones. Surprising differences are observed in the development of the FSD distributions between the US and the European market. While the FSD distribution of the US derivative market behaves nearly constant during the last financial crisis, we find huge fluctuations in the FSD distributions in the European market. One reason for these differences might be the possibility of a strategic default for US companies due to Chapter 11 and avoided contagion effects.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title First Significant Digits and the Credit Derivative Market During the Financial Crisis
Title of whole publication Research Report Series, Institute for Statistics and Mathematics, Report 101
Year 2010
URL http://epub.wu-wien.ac.at/dyn/virlib/wp/showentry?ID=epub-wu-01_10b9&from=NEW&style=blank

Associations

People
Hofmarcher, Paul (Details)
Hornik, Kurt (Details)
Organization
Institut f. Präsides SO (Details)
Institute for Statistics and Mathematics IN (Details)
Research Institute for Computational Methods FI (Details)
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