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The Time Varying Properties of Credit and Liquidity Components of CDS Spreads
Coro, Filippo; Dufour, Alfonso; Varotto, Simone - Henley Business School, University of Reading - 2012
This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during …. Moreover, in the period prior to the recent ‘Great Recession’ credit risk plays no role in explaining CDS price changes. The … dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of default risk …
Persistent link: https://www.econbiz.de/10010937354
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Sovereign contagion in Europe : evidence from the CDS market
Manasse, Paolo; Zavalloni, Luca - 2013
the empirical evidence on European sovereigns CDS spreads and estimate an econometric model where a crucial role is played … by time varying parameters. We model CDS spread changes at country level as reflecting three different factors: a Global …
Persistent link: https://www.econbiz.de/10011731038
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Bank Use of Sovereign CDS in the Eurozone Crisis : Hedging and Risk Incentives
Acharya, Viral V. - 2019
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during … the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their … protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not …
Persistent link: https://www.econbiz.de/10012898392
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Credit Risk Contagion Before and During the Euro Area Sovereign Debt Crisis : Evidence from Central Europe
Ters, Kristyna - 2016
intraday credit default swaps (CDS) data prior to the crisis period (2008-Oct. 2009) and during the crisis period (Oct. 2009 …
Persistent link: https://www.econbiz.de/10012979718
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Mind the Gap : Disentangling Credit and Liquidity in Risk Spreads
Schwarz, Krista - 2020
Euro-area sovereign bond and interbank interest rate spreads widened sharply in the 2007-2009 Global Financial Crisis and over the subsequent European Debt Crisis, greatly increasing financing costs. Such rate volatility could represent concerns over asset liquidity or issuer solvency. To...
Persistent link: https://www.econbiz.de/10012857617
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Market Perception of Sovereign Credit Risk in the Euro Area During the Financial Crisis
Camba-Mendez, Gonzalo - 2014
use a parsimonious CDS pricing model to estimate the probability of default (PD) and the loss given default (LGD) as …
Persistent link: https://www.econbiz.de/10013052936
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Market Perception of Sovereign Credit Risk in the Euro Area During the Financial Crisis
Camba-Mendez, Gonzalo - 2015
use a parsimonious CDS pricing model to estimate market implied measures of the probability of default (PD) and of the …
Persistent link: https://www.econbiz.de/10013017354
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Bank Use of Sovereign CDS in the Eurozone Crisis : Hedging and Risk Incentives
Acharya, Viral V.; Gündüz, Yalin; Johnson, Timothy C. - 2021
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during … the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their … protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not …
Persistent link: https://www.econbiz.de/10013222131
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A Tale of Two Eurozones : Banks' Funding, Sovereign Risk & Unconventional Monetary Policies
Fulli-Lemaire, Nicolas - 2014
helped banks directly or whether banks were actually helped by the reduction in sovereign CDS spreads …
Persistent link: https://www.econbiz.de/10013063273
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Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives
Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during … the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their … protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not …
Persistent link: https://www.econbiz.de/10011888333