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Linkages between financial CDS sectore
Khoshaim, Afnan A.
Khoshaim, Afnan A.
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Date
2016
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Abstract
his study examines the dynamic relationships between the US – EU – UK five year financial CDS sector index spreads for the banking and insurance sector over the recent period which is marked by the onset of the global financial crisis. By using daily data on five-year CDS indexes from January 1, 2004 to February 2, 2015. The objective of this examination is to analyze the dynamic relationships between the US – EU – UK using 5 time varying copulas (Gaussian, Student, Gumbel, Frank and Symmetrical Gumbel). The analyses we did in this study clarify the linkage between sectorial CDS markets for USA, UK and Europe. This study also helps to understand the nature of the relation between sectors (insurance, banking) and to assess the risk exposure for both sectors banking and insurance through Islamic finance point of view.