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Sovereign contagion in Europe : evidence from the CDS market
Manasse, Paolo; Zavalloni, Luca - 2013
This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …
Persistent link: https://www.econbiz.de/10011731038
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Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads
Tsuruta, Masaru - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-30
Persistent link: https://www.econbiz.de/10012659594
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Are the sovereign CDS premia sound estimators of the stock market returns? : evidence from the Eurozone
Wic, Ana Navarrete; Di Pietro, Filippo; Martín Marín, … - In: Revista de métodos cuantitativos para la economía y … 25 (2018), pp. 130-155
can predict the stock market returns of the most relevant economies within the Eurozone, so that, they serve as advanced …
Persistent link: https://www.econbiz.de/10011870707
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Contagion between liquid and illiquid assets during the financial crisis: evidence from the US credit derivative market
Kim, Jungmu; Park, Yuen Jung - In: Journal of derivatives and quantitative studies 28 (2020) 3, pp. 107-122
This study aims to investigate the existence of contagion between liquid and illiquid assets in the credit default swap (CDS) market around the recent financial crisis. The authors perform analyses based on vector autoregression model and the dynamic conditional correlation model. The estimation...
Persistent link: https://www.econbiz.de/10012592651
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Credit Default Swap Spreads and Variance Risk Premia
Wang, Hao - 2011
We find that firm-level variance risk premium, estimated as the difference between option-implied and expected variances, has a prominent explanatory power for credit spreads in the presence of market- and firm-level risk control variables identified in the existing literature. Such a...
Persistent link: https://www.econbiz.de/10013134271
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Credit Default Swap Spreads and Variance Risk Premia
Zhou, Hao - 2011
We find that firm-level variance risk premium, estimated as the difference between option-implied and expected variances, has a prominent explanatory power for credit spreads in the presence of market- and firm-level risk control variables identified in the existing literature. Such a...
Persistent link: https://www.econbiz.de/10013118597
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Spread Risk Premia in Corporate Credit Default Swap Markets
Entrop, Oliver - 2016
The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection sellers for future changes in CDS spreads caused by unpredictable fluctuations in the reference entity's risk-neutral default intensity. This paper defines and estimates a...
Persistent link: https://www.econbiz.de/10013008411
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Credit Default Swap Spreads and Variance Risk Premia
Wang, Hao - 2010
We find that firm-level variance risk premium, estimated as the difference between option-implied and expected variances, has a prominent explanatory power for credit spreads in the presence of market- and firm-level risk control variables identified in the existing literature. Such a...
Persistent link: https://www.econbiz.de/10013147002
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Implied Liquidity Risk Premium in the Term Structure of Sovereign Credit Default Swap and Bond Spreads
Badaoui, Saad - 2014
In this study, we focus on the dynamic properties of the risk-neutral liquidity risk premium specific to the sovereign credit default swap (CDS) and bond markets. We show that liquidity risk has a non-trivial role and participates directly to the variation over time of the term structure of...
Persistent link: https://www.econbiz.de/10013063132
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The dynamics of spillover effects during the European sovereign debt turmoil
Alter, Adrian; Beyer, Andreas - In: Journal of banking & finance 42 (2014), pp. 134-153
Persistent link: https://www.econbiz.de/10010408412