We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by … examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration … credit risk during the period of the recent financial crisis. …

/or information collected by market participants for the purpose of their own risk management. The framework involves four pillars: (i … supervisory arrangements, (iii) assessing the risk mitigation infrastructure, and (iv) assessing the degree of market transparency …

This paper presents background work that has been the basis for the development of the market and credit risk …. The fundamental idea was to build a set of Financial Indicators on Risk and Stability (FIRST) that could reflect the …

The increasing ability to trade credit risk in financial markets has facilitated its dispersion across the financial … and other sectors. However, specific risks attached to credit risk transfer (CRT) instruments in a market with still …

. The purpose of this paper is to address two basic questions: (i) do credit derivative markets increase systemic risk; and … of credit derivative markets and recent events, followed by an assessment of their recent association with systemic risk …

, this paper argues that macro-prudential regulation is necessary to address the systemic risk inherent to ratings. The paper … and increased illiquidity. The paper suggests the use of "ratings maps" and stress-tests to assess the systemic risk of … ratings, and increased capital or liquidity buffers to manage such risk. …

This paper finds that systematic default risk, or the event of widespread defaults in the corporate sector, is an … important determinant of equity returns. Moreover, the market price of systematic default risk is one order of magnitude higher … than the market price of other risk factors. In contrast to studies by Fama and French (1993, 1996 ) and Vassalou and Xing …

too-big-to-fail entities in the making. The present regulatory and reform efforts may not remove the systemic risk from …

regulatory framework and risk management practices in financial institutions active in these markets. The most important …