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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 … factors and liquidity. Our analysis confirms the existence of a long-run relationship between the two markets, and the … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …
Persistent link: https://www.econbiz.de/10013156973
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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 …
Persistent link: https://www.econbiz.de/10013316873
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Issuance and Valuation of Corporate Bonds with Quantitative Easing
Pegoraro, Stefano; Montagna, Mattia - 2021
bond market and in the default swap market, whereas the valuation of eligible bonds did not change relative to comparable …
Persistent link: https://www.econbiz.de/10013243816
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An Analysis of Euro Area Sovereign CDS and Their Relation with Government Bonds
Fontana, Alessandro - 2010
liquidity' effects and limits to arbitrage. Third, since September 2008, market integration for bonds and CDS varies across …
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
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/10013116569
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Disentangling the Bond-CDS Nexus : A Stress Test Model of the CDS Market
Vuillemey, Guillaume - 2013
holdings. The model enables the analysis of credit risk transfer mechanisms, includes features of market and liquidity risk …
Persistent link: https://www.econbiz.de/10013074485
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Pricing Sovereign Credit Risk of an Emerging Market
Camba-Mendez, Gonzalo - 2016
credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given …
Persistent link: https://www.econbiz.de/10012987488
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Pricing Sovereign Credit Risk of an Emerging Market
Camba-Mendez, Gonzalo - 2016
credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given …
Persistent link: https://www.econbiz.de/10012987870
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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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Bank Private Information in CDS Markets
Bilan, Andrada; Ongena, Steven; Pancaro, Cosimo - 2023
European Market Infrastructure Regulation (EMIR) with syndicated loans from DealScan, and compare the prices on similar CDSs …
Persistent link: https://www.econbiz.de/10014354665