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Modeling Credit Contagion via the Updating of Fragile Beliefs
Benzoni, Luca - 2015
We propose an equilibrium model for defaultable bonds that are subject to contagion risk. Contagion arises because agents with "fragile beliefs'' are uncertain about the underlying economic state and its probability. Estimation on sovereign European credit default swaps (CDS) data shows that...
Persistent link: https://www.econbiz.de/10013037129
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The Pricing of Risk in European Credit and Corporate Bond Markets
Berndt, Antje; Obreja, Iulian - 2021
This paper investigates the determinants of the default risk premia embedded in the European credit default swap spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent compensation for bearing exposure to systematic risk and...
Persistent link: https://www.econbiz.de/10013316873
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Modeling credit contagion via the updating of fragile beliefs
Benzoni, Luca; Colin-Dufresne, Pierre; Goldstein, Robert S. - In: The review of financial studies 28 (2015) 7, pp. 1960-2008
Persistent link: https://www.econbiz.de/10011376098
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Modeling Credit Contagion Via the Updating of Fragile Beliefs
Benzoni, Luca - 2016
We propose an equilibrium model for defaultable bonds that are subject to contagion risk. Contagion arises because agents with 'fragile beliefs' are uncertain about the underlying economic state and its probability. Estimation on sovereign European CDS data shows that agents require a...
Persistent link: https://www.econbiz.de/10013007806
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Modeling credit contagion via the updating of fragile beliefs
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2012 - This version: December 26, 2011
-weight the posterior probabilities of 'bad' states. We estimate the model using panel data on sovereign Euro-zone CDS spreads …
Persistent link: https://www.econbiz.de/10009656079
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Sovereign Contagion in Europe : Evidence from the CDS Market
Manasse, Paolo - 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/10013088213
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The Transmission of Euro Area Sovereign Risk Contagion : Evidence from Intraday CDS and Bond Markets
Ters, Kristyna - 2016
We examine the role of the CDS and bond markets during and before the recent euro area sovereign debt crisis as transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for GIIPS countries as well as for France and Germany. Our findings suggest...
Persistent link: https://www.econbiz.de/10012979715
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Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion
Komarek, Lubos - 2016
We examine the role of the CDS and bond markets during and before the recent euro area sovereign debt crisis as transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for GIIPS countries as well as Germany, France and central European...
Persistent link: https://www.econbiz.de/10012986255
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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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Mutual excitation in eurozone sovereign CDS
Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana - 2014 - This Version: May 14, 2014
We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting …
Persistent link: https://www.econbiz.de/10010357304