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The Time Varying Properties of Credit and Liquidity Components of CDS Spreads
Coro, Filippo; Dufour, Alfonso; Varotto, Simone - Henley Business School, University of Reading - 2012
This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during …. Moreover, in the period prior to the recent ‘Great Recession’ credit risk plays no role in explaining CDS price changes. The … dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of default risk …
Persistent link: https://www.econbiz.de/10010937354
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Credit and liquidity components of corporate CDS spreads
Corò, Filippo; Dufour, Alfonso; Varotto, Simone - In: Journal of Banking & Finance 37 (2013) 12, pp. 5511-5525
This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during … conditions. Moreover, in the period prior to the recent “Great Recession” credit risk plays no role in explaining CDS price … changes. The dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of …
Persistent link: https://www.econbiz.de/10011065649
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Assessing Credit Risk in Money Market Fund Portfolios
Collins, Sean; Gallagher, Emily - Volkswirtschaftliche Fakultät, … - 2014
estimate the credit default swap premium (CDS) needed to insure each fund’s portfolio against credit losses. We also calculate …
Persistent link: https://www.econbiz.de/10011108102
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Influence of the Greek Crisis on the Risk Perception of European Economies
Kliber, Agata - In: Central European Journal of Economic Modelling and … 5 (2013) 2, pp. 125-161
In the article the author analyses the impact of the Financial Crisis, especially the Greek fiscal one, on the sCDS prices in Europe. The aim of the article is to assess the ability of the sCDS premia to price the risk of countries before and during the Greek crisis. The author analyses sCDS...
Persistent link: https://www.econbiz.de/10010875628
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Price Jumps during Financial Crisis: From Intuition to Financial Regulation
Hanousek, Jan; Novotný, Jan - In: Politická ekonomie 2014 (2014) 1, pp. 32-48
price movements with respect to CDS. Our results suggest that both markets are different - extreme price movements at PSE … are independent of CDS movements, while those at NYSE show a sector/company specific reactions to CDS. …
Persistent link: https://www.econbiz.de/10011195220
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Interest rate risk propagation: Evidence from the credit crunch
Yang, Hsin-Feng; Liu, Chih-Liang; Chou, Ray Yeutien - In: The North American Journal of Economics and Finance 28 (2014) C, pp. 242-264
During the 2007–2009 financial crisis, US subprime mortgage risk exposures led to severe liquidity problems in several other foreign markets. Such risk contagion was caused by enormous changes in interest rates. Although risk contagion has been investigated by several literatures, the...
Persistent link: https://www.econbiz.de/10010777012
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CDS, bond spread and sovereign debt crisis in peripherial EU
Akdoğu, Serpil Kahraman - Volkswirtschaftliche Fakultät, … - 2012
faced considerable economic difficulties and the CDS has become the focal point of the current crisis. The euro sovereign … to adopting Euro. This paper aims to determine the relationship between credit default swap (CDS), bond spread and the … debt ratio of the countries. In this framework, the interaction between CDS and sovereign bond spreads are examined as a …
Persistent link: https://www.econbiz.de/10011260359
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Dynamic relationship between Turkey and European countries during the global financial crisis
Sensoy, Ahmet; Soytas, Ugur; Yildirim, Irem; … - In: Economic Modelling 40 (2014) C, pp. 290-298
correlations following the US crisis. The upward trend in all CDS correlations holds during the eurozone debt crisis, but positive …
Persistent link: https://www.econbiz.de/10010782005
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Analysis of Sovereign Risk Market Indicators: The Case of the Czech Republic
Komarkova, Zlatuse; Lesanovska, Jitka; Komarek, Lubos - In: Czech Journal of Economics and Finance (Finance a uver) 63 (2013) 1, pp. 5-24
In this article we discuss the credit default swap (CDS) as an indicator for measuring sovereign credit risk and the … relationship between the sovereign CDS market and government bond market. We analyze the links between the sovereign CDS and … of the Czech Republic. We then apply quantile analysis to sovereign CDS spreads to demonstrate the cross …
Persistent link: https://www.econbiz.de/10010827791
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Debt trap - monetary indicators of Hungary's indebtedness
Sági, Judit - Volkswirtschaftliche Fakultät, … - 2012
(NEERs), CDS spreads, market liquidity and debt exposures in foreign currencies. This study aims to examine the features of …
Persistent link: https://www.econbiz.de/10011110758