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Why do investors buy sovereign default insurance?

Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016

We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...

Persistent link: https://www.econbiz.de/10011541398

Cross-listings and the dynamics between credit and equity returns

Augustin, Patrick; Jiao, Feng; Sarkissian, Sergei; … - In: The review of financial studies 33 (2020) 1, pp. 112-154

Persistent link: https://www.econbiz.de/10012135545

The term structure of CDS spreads and sovereign credit risk

Augustin, Patrick - In: Journal of monetary economics 96 (2018), pp. 53-76

Persistent link: https://www.econbiz.de/10012108993

Real economic shocks and sovereign credit risk

Augustin, Patrick; Tédongap, Roméo - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 2, pp. 541-587

Persistent link: https://www.econbiz.de/10011577512

Ambiguity, volatility, and credit risk

Augustin, Patrick; Izhakian, Yehuda - In: The review of financial studies 33 (2020) 4, pp. 1618-1672

Persistent link: https://www.econbiz.de/10012198439

Sovereign credit default swap premia

Augustin, Patrick - 2012 - This version: April 2012

Persistent link: https://www.econbiz.de/10009696156

Sovereign credit default swap premia

Augustin, Patrick - In: Journal of investment management : JOIM 12 (2014) 2, pp. 65-102

Persistent link: https://www.econbiz.de/10010388906

Credit default swaps : a survey

Augustin, Patrick; Subrahmanyam, Marti G.; Tang, Dragon … - 2014

Persistent link: https://www.econbiz.de/10010477727

Sovereign credit risk and exchange rates : Evidence from CDS quanto spreads

Augustin, Patrick; Chernov, Mikhail; Song, Dongho - In: Journal of financial economics 137 (2020) 1, pp. 129-151

Persistent link: https://www.econbiz.de/10012631074

CDS Returns

Augustin, Patrick - 2020

We show that existing metrics of CDS returns poorly approximate cash flow-based CDS returns. Given the complexities involved in computing CDS returns correctly, we provide a simple closed-form approximation that bears a correlation of no less than 99% with the true return series. Our work...

Persistent link: https://www.econbiz.de/10012854180