The role of redenomination risk in the price evolution of Italian banks' CDS spreads
Year of publication: |
2020
|
---|---|
Authors: | Anelli, Michele ; Patanè, Michele ; Toscano, Mario ; Zedda, Stefano |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 13.2020, 7/150, p. 1-17
|
Subject: | CDS spreads | Granger-causality | quanto CDS | redenomination risk | Kreditderivat | Credit derivative | Italien | Italy | Risikoprämie | Risk premium | Risiko | Risk | Zinsstruktur | Yield curve | Kreditrisiko | Credit risk |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm13070150 [DOI] hdl:10419/239238 [Handle] |
Classification: | G01 - Financial Crises ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G20 - Financial Institutions and Services. General |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Firm-specific risk-neutral distributions : the role of CDS spreads
Aramonte, Sirio, (2017)
-
The role of redenomination risk in the price evolution of Italian banks' CDS spreads
Anelli, Michele, (2020)
-
Economic Policy Uncertainty, CDS Spreads, and CDS Liquidity Provision
Wang, Xinjie, (2020)
- More ...
-
The role of redenomination risk in the price evolution of Italian banks' CDS spreads
Anelli, Michele, (2020)
-
Are banks still a risk source for stock market? Some empirical evidences
Anelli, Michele, (2022)
-
Are banks still a risk source for stock market? : Some empirical evidences
Anelli, Michele, (2022)
- More ...