tight and stable in the weeks preceding the intensification of the crisis. Firstly, the packages induced a decrease in risk … spreads for banks at the expense of a marked increase in risk spreads for governments. Secondly, we show that in addition to … this one-off jump in the levels of CDS spreads, the packages strongly increased the sensitivity of sovereign risk spreads …

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 … fixed and time varying LGD, and we use these values to analyze the sovereign credit risk of Polish debt throughout the …

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 … fixed and time varying LGD, and we use these values to analyze the sovereign credit risk of Polish debt throughout the …

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 premium increased significantly during the crisis, whereas the long-run mean …

This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel … forward-looking emission reduction targets, thereby providing a rich picture of firms’ climate-related transition risk … firms’ credit risk: credit ratings and the market-implied distance-to-default. High emissions tend to be associated with …

This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel … forward-looking emission reduction targets, thereby providing a rich picture of firms' climate-related transition risk … firms' credit risk: credit ratings and the market-implied distance-to-default. High emissions tend to be associated with …

premium can be regarded as a forward-looking measure of idiosyncratic sovereign default risk as perceived by financial markets … be attributed to CDS market liquidity, local stock returns, and overall risk aversion. By contrast, the impact of shocks … the main roles in sovereign risk evaluation in real time. Moreover, we also find that the CDS term premium response to …

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 to a new common factor capturing the proneness of the asset returns to …

main finding is that the recent repricing of sovereign credit risk in the CDS market seems mostly due to common factors …

holdings. The model enables the analysis of credit risk transfer mechanisms, includes features of market and liquidity risk …' losses due to direct and correlated bond exposures are significantly higher than losses due to CDS exposures. The main risk …