CDS: relación con índices accionarios y medida de riesgo

the main driver as a result of the recent financial crisis studies is the cds behavior. thus, we study the relationship between cds and stock indices in countries like greece, spain and italy due to the recent financial turmoil. secondly, we analyze and show evidence on the link between deal spread on cds of republic of colombia and colcap stock index. then we focus on conditional var of these cds before and during the credit crisis. we found that var estimates based on normal distribution assumption fails on cds market analysis.