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  Essays on Credit Risk: European studies in the context of the global financial crisisBekkour, Lamia  Doctoral thesis (2015) Given the major role of credit risk in the recent financial crisis, this thesis focuses on analysing different perspectives of credit risk in Europe during the financial crisis. We consider different ... [more ▼] Given the major role of credit risk in the recent financial crisis, this thesis focuses on analysing different perspectives of credit risk in Europe during the financial crisis. We consider different markets: Credit Default Swap (CDS), options on equities and exchange rates, and finally, the equity markets. We also look at the impact on different entities: corporates, banks and sovereigns however, we focus more on banks. [less ▲] Detailed reference viewed: 196 (26 UL)  Euro at Risk: The Impact of Member Countries' Credit Risk on the Stability of the Common CurrencyBekkour, Lamia ; Jin, Xisong ; Lehnert, Thorsten et alin Journal of Empirical Finance (2015), 33 Detailed reference viewed: 171 (11 UL)Euro_At_RiskRasmouki, Fanou ; Bekkour, Lamia ; Lehnert, Thorsten et alScientific Conference (2014, June) Detailed reference viewed: 6 (0 UL)CDS Contracts versus Put Options: A robust relationship?Bekkour, Lamia ; Lehnert, Thorsten ; et alE-print/Working paper (2014) Detailed reference viewed: 96 (8 UL)The Relative Informational Efficiency of Stocks, Options and Credit Default SwapsLehnert, Thorsten ; Bekkour, Lamia in Journal of Risk Finance (2014), 15(5), Detailed reference viewed: 117 (3 UL)Griechenland und die Euro-Stabilität,Bekkour, Lamia ; Rasmouki, Fanou Diverse speeches and writings (2012) Detailed reference viewed: 76 (1 UL)The Relative Informational Efficiency of Stocks, Options and Credit Default SwapsBekkour, Lamia Scientific Conference (2012) Detailed reference viewed: 78 (2 UL)The Relative Informational Efficiency of Stocks, Options and Credit Default SwapsBekkour, Lamia Scientific Conference (2012) Detailed reference viewed: 77 (2 UL)Euro at Risk: The Impact of Member Countries' Credit Risk on the Stability of the Common CurrencyBekkour, Lamia Scientific Conference (2012) Detailed reference viewed: 72 (1 UL)Euro at Risk: The Impact of Member Countries' Credit Risk on the Stability of the Common CurrencyBekkour, Lamia Scientific Conference (2012) Detailed reference viewed: 99 (3 UL)Euro at Risk: The Impact of Member Countries' Credit Risk on the Stability of the Common CurrencyBekkour, Lamia Scientific Conference (2012) Detailed reference viewed: 95 (3 UL)The Relative Informational Efficiency of StocksBekkour, Lamia Scientific Conference (2012) Detailed reference viewed: 29 (5 UL)Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common CurrencyBekkour, Lamia ; Jin, Xisong ; Lehnert, Thorsten et alE-print/Working paper (2012) Detailed reference viewed: 164 (15 UL)The Relative Informational Efficiency of Stocks, Options and Credit Default SwapsBekkour, Lamia ; ; Lehnert, Thorsten Scientific Conference (2011) In this study, we investigate the dynamics behind informed investors’ trading decisions among Eu-ropean stock, options and credit default swap markets. This allows us to identify the predictive ex ... [more ▼] In this study, we investigate the dynamics behind informed investors’ trading decisions among Eu-ropean stock, options and credit default swap markets. This allows us to identify the predictive ex-planatory power of the unique information contained in each market with respect to future stock, CDS and option market movements. A lead-lag relation is found between the CDS market and the other markets, in which changes in CDS spreads are able to consistently forecast changes in stock prices and equity options’ implied volatilities pointing out how the fast growing CDS market seems to play a special role in the price discovery process. Moreover, in contrast to US results, the stock market is found to forecast changes in the other two markets suggesting that investors also prefer stock market involvement to exploit their information advantages and then move to CDS and option markets. Interestingly, those patterns have only emerged during the recent financial crisis, while before the crisis the option market was found to be of major importance in the price discovery process. [less ▲] Detailed reference viewed: 122 (9 UL)The Relative Informational Efficiency of Stocks, Options and Credit Default SwapsBekkour, Lamia ; Lehnert, Thorsten ; E-print/Working paper (2011) Detailed reference viewed: 94 (1 UL)The Relative Informational Efficiency of Stocks, Options and Credit Default SwapsBekkour, Lamia ; Lehnert, Thorsten ; E-print/Working paper (2011) Detailed reference viewed: 88 (2 UL) |
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