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Systemic Risk Diagnostics : Coincident Indicators and Early Warning Signals
Schwaab, Bernd; Koopman, Siem Jan; Lucas, Andre - 2021
components for a large data set comprising the U.S., the EU-27 area, and the respective rest of the world. Credit risk conditions …
Persistent link: https://www.econbiz.de/10013316033
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An Analysis of Euro Area Sovereign CDS and Their Relation with Government Bonds
Fontana, Alessandro - 2010
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...
Persistent link: https://www.econbiz.de/10013135678
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The Janus-Headed Salvation : Sovereign and Bank Credit Risk Premia during 2008-09
Ejsing, Jacob - 2012
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 clear structural break in these premia's comovement, which had been rather … to any further aggravation of the crisis. At the same time, the sensitivity of bank credit risk premia declined and …
Persistent link: https://www.econbiz.de/10013116569
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The Term Structure of Risk Premia : New Evidence from the Financial Crisis
Berg, Tobias - 2010
This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...
Persistent link: https://www.econbiz.de/10013146561
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Disentangling the Bond-CDS Nexus : A Stress Test Model of the CDS Market
Vuillemey, Guillaume - 2013
This paper presents a stress test model for the CDS market, with a focus on the interplay between banks' bond and CDS holdings. The model enables the analysis of credit risk transfer mechanisms, includes features of market and liquidity risk, and allows for contagious propagation of counterparty...
Persistent link: https://www.econbiz.de/10013074485
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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
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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/10012987870
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Bank Private Information in CDS Markets
Bilan, Andrada; Ongena, Steven; Pancaro, Cosimo - 2023
Can banks trade credit default swaps (CDSs) referenced on their current corporate clients at competitive prices, or are banks penalized for potentially holding private information? To answer this question we merge CDS trades reported under the European Market Infrastructure Regulation (EMIR)...
Persistent link: https://www.econbiz.de/10014354665
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An Empirical Study on the Decoupling Movements between Corporate Bond and CDS Spreads
Alexopoulou, Ioana - 2009
Applied to the European markets, this paper analyzes the price of credit risk on the Credit Default Swap (CDS) and corporate bond markets by comparing the sensitivity of the credit spreads on each market to systematic, idiosyncratic risk factors and liquidity. Our analysis confirms the existence...
Persistent link: https://www.econbiz.de/10013156973
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The Pricing of Subprime Mortgage Risk in Good Times and Bad : Evidence from the ABX.HE Indices
Fender, Ingo - 2013
This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of indices, which have become a key barometer of mortgage market conditions during the recent financial crisis. After an introduction into ABX index mechanics and a discussion of...
Persistent link: https://www.econbiz.de/10013095930