Narrow search
Showing 1 - 10 of 252
Cover Image
An empirical study on the decoupling movements between corporate bond and CDS spreads
Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 2009
. -- Credit Default Swap Spreads ; Corporate Bond Spreads ; Liquidity …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 …
Persistent link: https://www.econbiz.de/10003963752
Cover Image
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/10014315233
Cover Image
Risk retention in the European securitization market : skimmed by the skin-in-the-game methods?
Breemen, Vivian van; Schwarz, Claudia; Vink, Dennis - 2023
using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the …
Persistent link: https://www.econbiz.de/10014362634
Cover Image
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/10012422429
Cover Image
It's not time to make a change : sovereign fragility and the corporate credit risk
Fornari, Fabio; Zaghini, Andrea - 2022
Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after...
Persistent link: https://www.econbiz.de/10013391043
Cover Image
The pricing of risk in European credit and corporate bond markets
Berndt, Antje (contributor); Obreja, Iulian (contributor) - 2007
This paper investigates the determinants of the default risk premia embedded in the European credit default swap …
Persistent link: https://www.econbiz.de/10003516709
Cover Image
The Janus-headed salvation : sovereign and bank credit risk premia during 2008-09
Ejsing, Jacob Wellendorph - 2009
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/10003969276
Cover Image
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/10003971282
Cover Image
An analysis of euro area sovereign CDS and their relation with government bonds
Fontana, Alessandro; Scheicher, Martin - 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/10008746582
Cover Image
Disentangling the bond-CDS nexus : a stress test model of the CDS market
Vuillemey, Guillaume; Peltonen, Tuomo - 2013
Persistent link: https://www.econbiz.de/10010209597