This study investigates the tail dependence structures of sovereign credit default swaps (CDSs) and three global risk … “distribution-adjusted” joint marginals. The empirical results show that global market risk sentiment comoves with sovereign CDS … second biggest risk factor correlated with CDS spreads for Brazil and South Africa, while exchange rate risk exhibits very …

-volatility framework. In this paper, we analyzed the price discovery process of the Italian banks’ Credit Default Swap (CDS) spreads … through the Merton model, extended with the inclusion of a redenomination risk proxy, as to say, the risk that Italy could … commonly recognized periods of socio-political and financial distress. Results show that the redenomination risk is …

This study examines the impact of changes in the yield curve factors on the Credit Default Swap (CDS) spreads of the U …

This paper aimed to investigate the drivers of sovereign credit risk spreads changes in the case of four Gulf …. Specifically, we explained the changes in sovereign credit default swap (hereafter SCDS) spreads at different locations of the …

Measures of corporate credit risk incorporate compensation for unpredictable future changes in the credit environment … securities by the European Central Bank, it has been discussed whether the observed reduction in corporate credit risk was due to … the decrease in risk aversion favored by the monetary easing or by expectations of lower losses due to corporate defaults …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …

represents a unique opportunity to understand the performance of risk factors during severe economic times across international … heterogeneous responses of option-implied expected market risk premia across alternative stock market indices, and between the Great …

credit risk, as an application of the same modeling paradigm, do not perform well empirically. We argue that the ability to … the Black-Scholes-Merton’s modeling paradigm which could be utilized in credit risk models as well. Our evidence is … persistently produced substantial risk-adjusted profit. …

firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn … higher return than big firms only if they have higher default risk and value stocks earn higher returns than growth stocks if … their default risk is high. In this paper we use a more advanced compound option pricing model for the computation of …