CDS Indices Spreads: Forecasting and Trading iTraxx and CDX Indices

CDS Indices Spreads: Forecasting and Trading iTraxx and CDX Indices

Novembre 2017
40 pagine
978-­88-­6856-­128-­4

Plenty of researches on the CDS market have focused on the identification of the fundamental components explaining credit spread changes, while very few analyses have investigated the practical opportunity to forecast CDS indices’ spread changes, that is, identifying a predicting component in the dynamics of spread changes.
This working paper addresses for the first time, forecasting tasks in the European and U.S credit markets, both in the investment grade and high yield markets, in reference to the iTraxx Europe, iTraxx Crossover, North America CDX IG and North America CDX HY.