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Persistent link: https://www.econbiz.de/10011634088
This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample … comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare … the determinants of CDS spreads and bond spreads and test how the crisis has affected market pricing. Then we analyse the …
Persistent link: https://www.econbiz.de/10013135678
This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample … comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare … the determinants of CDS spreads and bond spreads and test how the crisis has affected market pricing. Then we analyse the …
Persistent link: https://www.econbiz.de/10008746582
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Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk … trading. The first-ever credit event in a developed country's sovereign CDS has further highlighted the importance of the CDS … market from a macro-prudential perspective. Developments in the European sovereign CDS market are a part of the major …
Persistent link: https://www.econbiz.de/10011972792
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We develop a framework to analyse the Credit Default Swaps (CDS) market as a network of risk transfers among … fragmented network structures. Empirically, we analyse a unique global dataset of bilateral CDS exposures on major sovereign and … a few leading URBs, most of which are non-banks (in particular asset managers). Finally, the analysis of the CDS …
Persistent link: https://www.econbiz.de/10011975749