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Analyzing credit risk transmission to the non-financial sector in Europe : a network approach
Gross, Christian; Siklos, Pierre L. - 2019
Persistent link: https://www.econbiz.de/10012223991
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Analyzing credit risk transmission to the non-financial sector in Europe : a network approach
Gross, Christian; Siklos, Pierre L. - 2019
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...
Persistent link: https://www.econbiz.de/10012317318
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Analyzing credit risk transmission to the non-financial sector in Europe : a network approach
Gross, Christian; Siklos, Pierre L. - 2018
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...
Persistent link: https://www.econbiz.de/10011978741
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Sector spillovers in credit markets
Collet, Jerome; Ielpo, Florian - In: Journal of banking & finance 94 (2018), pp. 267-278
Persistent link: https://www.econbiz.de/10011966651
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In search of distress premium in the Chinese energy sector
Zhang, Xuan; Zhang, Zhekai; Xu, Liao; Zhou, Zhiping - In: Energy economics 129 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10014558967
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Multilayer network analysis for improved credit risk prediction
Óskarsdóttir, María; Bravo, Cristián - In: Omega : the international journal of management science 105 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10014519444
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Measuring connectedness of euro area sovereign risk
Buse, Rebekka; Schienle, Melanie - In: International journal of forecasting 35 (2019) 1, pp. 25-44
Persistent link: https://www.econbiz.de/10012300572
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Measuring connectedness of euro area sovereign risk
Buse, Rebekka; Schienle, Melanie - 2019
We introduce a method for measuring default risk connectedness of euro zone sovereign states using credit default swap … (CDS) and bond data. The connectedness measure is based on an out-of-sample variance decomposition of model forecast errors … determine sovereign default risk connectedness with both CDS and bond data for a more comprehensive picture of the system. We …
Persistent link: https://www.econbiz.de/10011958223
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From fears to recession? : time-frequency risk contagion among stock and credit default swap markets during the COVID pandemic
Zhai, Pengxiang; Wu, Fei; Ji, Qiang; Nguyen, Duc Khuong - In: International journal of finance & economics : IJFE 29 (2024) 1, pp. 551-580
Persistent link: https://www.econbiz.de/10014469034
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Insurance, systemic risk and the financial crisis
Baluch, Faisal; Mutenga, Stanley; Parsons, Chris - In: The Geneva papers on risk and insurance - issues and … 36 (2011) 1, pp. 126-163
Persistent link: https://www.econbiz.de/10009158178