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 …

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 …

Kreditderivat. Wir analysieren das Risiko von CDS, die im Handelsbuch gehalten werden. Wir vergleichen den Value at Risk (VaR) der …We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at … Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity. Our sample consists of CDS – stock …

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 …

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 …