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Breakdown of covered interest parity : mystery or myth?

Wong, Alfred Y.; Zhang, Jiayue - 2018

that the swap dealer behaves as if he tries to align the risks of the transactions in pricing CCBSs, which causes CIP to …

Persistent link: https://www.econbiz.de/10011791979

A measure of Turkey's sovereign and banking sector credit risk : asset swap spreads

Küçüksaraç, Doruk; Kazdal, Abdullah; İbrahim … - In: Central Bank review / Central Bank of the Republic of Turkey 21 (2021) 2, pp. 49-57

banking sector in international markets by calculating asset swap spread for US dollar-denominated fixed coupon eurobonds … and banking sector yield curves and then constructs a synthetic asset swap structure to obtain embedded credit risk premia … default swap premium. In addition to this, estimated eurobond curves are also useful for monitoring borrowing cost dynamics of …

Persistent link: https://www.econbiz.de/10012592021

Breakdown of covered interest parity : mystery or myth?

Wong, Alfred Y.; Zhang, Jiayue - 2017

Persistent link: https://www.econbiz.de/10012201638

Non-Default Component of Sovereign Emerging Market Yield Spreads and Its Determinants : Evidence from Credit Default Swap Market

Küçük, Uğur N. - 2019

credit default swap (CDS) premium and the hypothetical CDS premium implied by emerging market bond yields. On average, the …

Persistent link: https://www.econbiz.de/10012906256

Fiscal Austerity, Growth Prospects, and Sovereign CDS Spreads : The Eurozone and Beyond

Yuan, Chunming - 2014

This paper applies both conventional panel data models and a dynamic simultaneous equations model to analyze the impact of fiscal austerity and growth prospects along with other macro fundamentals on the pricing of sovereign credit default swaps (CDS) for a panel of 36 countries including the...

Persistent link: https://www.econbiz.de/10013062276

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...