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The impacts of financial crisis on sovereign credit risk analysis in Asia and Europe
Zhang, Min; Kolkiewicz, Adam W.; Wirjanto, Tony S.; Li, … - In: International journal of financial engineering 2 (2015) 3, pp. 1-57
Persistent link: https://www.econbiz.de/10011403191
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The state dependent impact of bank exposure on sovereign risk
Podstawski, Maximilian; Velinov, Anton - 2016 - This version: February 11, 2016
The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived default risk by acting as a disciplinary device for the...
Persistent link: https://www.econbiz.de/10011436025
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Disentangling the bond-CDS nexus : a stress test model of the CDS market
Vuillemey, Guillaume; Peltonen, Tuomo - In: Economic modelling 49 (2015), pp. 32-45
Persistent link: https://www.econbiz.de/10011439475
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How do global investors differentiate between sovereign risks : the new normal versus the old
Amstad, Marlene; Remolona, Eli M.; Shek, Jimmy - 2016
Persistent link: https://www.econbiz.de/10011439801
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The effects of fiscal opacity on sovereign credit spreads
Peat, Maurice; Svec, Jiri; Wang, Jue - In: Emerging markets review 24 (2015), pp. 34-45
Persistent link: https://www.econbiz.de/10011538528
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Portfolio diversification in the sovereign credit swap markets
Consiglio, Andrea; Lotfi, Somayyeh; Zenios, Stauros Andrea - 2016
Persistent link: https://www.econbiz.de/10011539351
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How much of bank credit risk is sovereign risk? : evidence from the eurozone
Li, Junye; Zinna, Gabriele - 2014
Persistent link: https://www.econbiz.de/10011539407
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On the compensation for illiquidity in sovereign credit markets
Lafuente, Juan Angel; Serrano, Pedro - In: Journal of multinational financial management 30 (2015), pp. 83-100
Persistent link: https://www.econbiz.de/10011539536
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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
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Two new equity default swaps with idiosyncratic risk
Yang, Zhaojun; Zhang, Chunhong - In: International review of economics & finance : IREF 37 (2015), pp. 254-273
Persistent link: https://www.econbiz.de/10011542095