Fluctuations in investor risk aversion are often cited as a factor explaining crises on financial markets. The alternation between periods of bullishness prompting investors to make risky investments, and periods of bearishness, when they retreat to the safest forms of investments, could be at...

We analyse the links between credit default swaps (CDSs) and bonds and try to determine which is the leader in the price discovery process. As the respective sizes of the markets are quite different for sovereigns and corporates, we consider a sample including both categories. For each entity,...

Prospects for a restructuring of Greek debt gave rise to: 1/ strong fears of an amplification of systemic risk associated with doubts as to whether the European financial system would be able to cope with a sovereign default; 2/ discussions about whether the credit default swaps (CDSs) would be...