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 test how the crisis has affected market pricing. Then we analyse the …

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 test how the crisis has affected market pricing. Then we analyse the …

financial institutions. In this paper, we put the joint response of euro area bank and sovereign CDS premia under the microscope … this one-off jump in the levels of CDS spreads, the packages strongly increased the sensitivity of sovereign risk spreads …

This paper presents a stress test model for the CDS market, with a focus on the interplay between banks' bond and CDS … bond and CDS data for 65 major European banks. The model simulation shows that, in case of a sovereign credit event, banks …' losses due to direct and correlated bond exposures are significantly higher than losses due to CDS exposures. The main risk …

Applied to the European markets, this paper analyzes the price of credit risk on the Credit Default Swap (CDS) and … tendency for CDS markets to lead corporate bond markets in terms of price discovery. We find that the outbreak of the financial … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …

This study investigates the dynamics of the sovereign CDS term premium for five European countries. The CDS term …. Using a Markov-switching unobserved component model, we decompose the daily CDS term premium into two components of … be attributed to CDS market liquidity, local stock returns, and overall risk aversion. By contrast, the impact of shocks …

We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing … the application of initial margin requirements for dealers, whether or not the CDS are cleared. Given these dealer …

relationship between the AOR and the credit default swap spread (CDS) of 60 banks in years 2008-2013. We find that in daily … differences the AOR leads the CDS at least by one day. The lead is concentrated on days of market stress for banks which mainly … crisis countries. In longer differences, up to several weeks, both the AOR and the CDS have some predictive power over one …

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. We compare different specifications of the models allowing for both … PD values and the CDS spreads heavily depend on the maturity of the sovereign CDS …