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First Significant Digits and the Credit Derivative Market during the Financial Crisis

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. / Series: Research Report Series / Department of Statistics and Mathematics

Identiferoai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:epub-wu-01_10b9
Date January 2010
CreatorsHofmarcher, Paul, Hornik, Kurt
PublisherInstitute for Statistics and Mathematics, WU Vienna University of Economics and Business
Source SetsWirtschaftsuniversität Wien
LanguageEnglish
Detected LanguageEnglish
TypePaper, NonPeerReviewed
Formatapplication/pdf
Relationhttp://epub.wu.ac.at/606/

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