Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In … correlated defaults primarily impact the CDS prices of firms with an overall low CDS level. (III) Idiosyncratic risk factors for …

-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging … to a battery of candidate variables for determining meaningful systematic risk factors. Second, Markov switching … market conditions, on the other. Our evidence for market indices of euro-denominated bonds suggests that systematic risk …

We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our …

This paper provides initial evidence on counterparty risk-mitigation activities of financial institutions on the basis … of Depository Trust and Clearing Corporation's (DTCC) proprietary bilateral credit default swap transactions and … successive contracts and purchase protection written on them, even avoiding wrong-way risk mitigation. Higher stock return and …

long exposures to sovereign risk during this period. Lower loan exposure to sovereign risk is associated with greater … protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk. …

sovereign debt exposures and the implications of sovereign exposures for bank risk. Our main findings are as follows. First … impact of sovereign bond holdings on bank risk. This result could indicate the widespread absence of marking-to-market for …