Global Asset Management Firms Flirting with CDS Indexes: Should We Be Worried?
Bibliographic record
Abstract
We analyse the linkages between the credit default swaps (CDS) markets and systemically important asset management firms (AMFs). Using a comprehensive dataset on 27 of the world largest publicly listed AMFs and on the CDS index market, we show that the sensitivity of AMFs stocks returns to CDS indices markets differ markedly on the basis of their geographical location. Our key finding is the high exposure and strong linkage of the European AMFs to the American CDS index market. Specifically, we find that the equity values of all the European-based AMFs show a strong negative response to shocks to the CDX index. While other major Canadian and Asian headquartered AMFs experience a similar sensitivity, we find no such effect for the US AMFs. Further, we document significant volatility spillovers from both the iTraxx and CDX indices into European AMFs equity values, and these effects are stronger for the iTraxx index. To our knowledge, this is the first empirical evidence of CDS markets affecting AMFs.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.008 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.003 |
| Science and technology studies | 0.000 | 0.001 |
| Scholarly communication | 0.003 | 0.002 |
| Open science | 0.000 | 0.001 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.004 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".