Assessing the dynamics of risk premium measures and its relationship with macroeconomic fundamentals is important for both macroeconomic policymakers and market practitioners. This paper analyzes the main determinants of CDS in Latin-America at different tenures, focusing on their volatility....

Central counterparty clearing houses (CCPs) provide risk management for OTC transactions. Using a global sample of sovereign credit default swaps (CDS) issued between 2010 and 2017, this paper analyzes the impact of the global structural shift from over-the-counter to voluntary CCP clearing of...

This study tries to predict as accurately as possible CDS risk premia for BRICS countries by utilizing state-of-the-art recurrent neural network architectures. These are ELMAN, NARX, GRU, and LSTM RNNs in the time series setting, taking into account both local and global features. The predictive...

This paper examines the impact of the EU Taxonomy's non-climate environmental criteria on the corporate credit risk term structure. We focus on infrastructure firm-level credit risk transmitted through CDS with differential maturities (e.g., ten-year minus one-year) in relation to biodiversity,...

An increasing number of studies extract credit spreads using equity options data. This inference relies on the assumption that option and credit markets are integrated. I empirically test this assumption using firm level option implied credit spreads (IS) and CDS spreads. While the IS and CDS...

The paper investigates CDS spreads reaction to the type of issued bonds, green or conventional. We use an event study based on the CDS spreads reaction for the green bond issuance. First, we find that there is a green bond effect. That is, CDS spreads decline when a green bond is issued,...

This study investigates the relationship between the geopolitical risk in Turkey arising out of the war and terror incidents happened in the region during the period 2003:01-2020:06 with the CDS premium. A two-step approach is undertaken for this assessment, in which an ARDL limit test and then...