Tail Dependence of Financial Stocks and CDS Markets – Evidence Using Copula Methods and Simulation-Based Inference [Dataset]
<|begin_of_text|><|start_header_id|>system<|end_header_id|> You are a research archivist expert in dataset metadata. Answer the question truthfully.  <|eot_id|><|start_header_id|>user<|end_header_id|> Here is the Description of a dataset. Description:'Using copula methods and simulation-based inference, the authors investigate the association between the performance of a stock index formed by European financial institutions and a basket of CDS contracts of the same sector. Their analysis focuses on (i) assessing the dependence structure of the markets when extreme events occur, and (ii) checking the validity of the conclusion by Merton (On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, 1974)and other similar structural models that there is an intensification of the relationship between stock prices and credit spreads after large negative shocks in the value of firms’ assets. The authors show that there is a large tail dependence between the two portfolios. However, the dependence structure seems to be similar with respect to positive and negative innovations i' . Please return only a json list of at most 3 Keywords corresponding to the Description:.<|eot_id|><|start_header_id|>assistant<|end_header_id|> {"Answer" : ["Banking","CDS Markets","Contagion","Copulas","Credit Risk","Imulation Based Inference","Merton’s Model"]} <|eot_id|>
 Here is the Description of a dataset. Description:'Using copula methods and simulation-based inference, the authors investigate the association between the performance of a stock index formed by European financial institutions and a basket of CDS contracts of the same sector. Their analysis focuses on (i) assessing the dependence structure of the markets when extreme events occur, and (ii) checking the validity of the conclusion by Merton (On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, 1974)and other similar structural models that there is an intensification of the relationship between stock prices and credit spreads after large negative shocks in the value of firms’ assets. The authors show that there is a large tail dependence between the two portfolios. However, the dependence structure seems to be similar with respect to positive and negative innovations i' . Please return only a json list of at most 3 Keywords corresponding to the Description:.
Using copula methods and simulation-based inference, the authors investigate the association between the performance of a stock index formed by European financial institutions and a basket of CDS contracts of the same sector. Their analysis focuses on (i) assessing the dependence structure of the markets when extreme events occur, and (ii) checking the validity of the conclusion by Merton (On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, 1974)and other similar structural models that there is an intensification of the relationship between stock prices and credit spreads after large negative shocks in the value of firms’ assets. The authors show that there is a large tail dependence between the two portfolios. However, the dependence structure seems to be similar with respect to positive and negative innovations i
Banking; CDS Markets; Contagion; Copulas; Credit Risk; Imulation Based Inference; Merton’s Model