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The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis

Beirne, John - 2014

debt crisis. It shows that a deterioration in countries' fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spill overs and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

Persistent link: https://www.econbiz.de/10013061742

Pricing Sovereign Credit Risk of an Emerging Market

Camba-Mendez, Gonzalo - 2016

We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts....

Persistent link: https://www.econbiz.de/10012987488

Pricing Sovereign Credit Risk of an Emerging Market

Camba-Mendez, Gonzalo - 2016

Persistent link: https://www.econbiz.de/10012987870

Why do investors buy sovereign default insurance?

Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016

We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...

Persistent link: https://www.econbiz.de/10011541398

The Pricing of Risk in European Credit and Corporate Bond Markets

Berndt, Antje; Obreja, Iulian - 2021

This paper investigates the determinants of the default risk premia embedded in the European credit default swap spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent compensation for bearing exposure to systematic risk and...

Persistent link: https://www.econbiz.de/10013316873

The pricing of risk in European credit and corporate bond markets

Berndt, Antje; Obreja, Iulian - 2007

Persistent link: https://www.econbiz.de/10011604851

The Janus-headed salvation: sovereign and bank credit risk premia during 2008-09

Ejsing, Jacob; Lemke, Wolfgang - 2009

As the global banking crisis intensified in the fall of 2008, governments announced comprehensive rescue packages for financial institutions. In this paper, we put the joint response of euro area bank and sovereign CDS premia under the microscope. We find that the bank rescue packages led to a...

Persistent link: https://www.econbiz.de/10011605173

Transparency and emerging market bond spreads

Moretti, Laura - 2011

I investigate the effect of transparency on the borrowing costs of Emerging Markets Economies. Transparency is measured by whether or not the countries publish the IMF Article IV Staff report and the Reports on the Observance of Standards and Codes (ROSC). Using difference-in-difference...

Persistent link: https://www.econbiz.de/10010308569

The Janus-Headed Salvation : Sovereign and Bank Credit Risk Premia during 2008-09

Ejsing, Jacob - 2012

Persistent link: https://www.econbiz.de/10013116569

The Pricing of G7 Sovereign Bond Spreads : The Times, They are A-Changin

D'Agostino, Antonello - 2013

Against the background of the current debate about fiscal sustainability in several advanced economies, this paper estimates determinants of G7 sovereign bond spreads, using high‐frequency proxies for market expectations about macroeconomic fundamentals and allowing for time‐varying...

Persistent link: https://www.econbiz.de/10013086465