. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes, with exogenous common … factors. We account for interdependencies between sovereign and bank CDS spreads and we derive generalised impulse response …

This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample … comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare … the determinants of CDS spreads and bond spreads and test how the crisis has affected market pricing. Then we analyse the …

This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches …

We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing … the application of initial margin requirements for dealers, whether or not the CDS are cleared. Given these dealer …

This paper presents a stress test model for the CDS market, with a focus on the interplay between banks’ bond and CDS … bond and CDS data for 65 major European banks. The model simulation shows that, in case of a sovereign credit event, banks …’ losses due to direct and correlated bond exposures are significantly higher than losses due to CDS exposures. The main risk …

We investigate the risk of holding credit default swaps(CDS) in the trading book and compare the Value at Risk (VaR) of … a CDS position to the VaR for investing in the respective firm’s equity using a sample of CDS – stock price pairs for 86 … than the VaR for a position in the same firm’s CDS. However, the ratio between CDS and equity VaR is markedly smaller for …

This paper investigates the determinants of the default risk premia embedded in the European credit default swap …

several shocks to the spreads (e.g. interest rate expectations, volumes of open market operations, interest rate volatility …