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The effect of the PSI in the relationship between sovereign and bank credit risk : evidence from the euro area
Papafilis, Michalis-Panayiotis; Psillaki, Maria; … - In: Multinational finance journal 23 (2019) 3/4, pp. 211-272
Persistent link: https://www.econbiz.de/10012590840
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Conditional copula simulation for systemic risk stress testing
Brechmann, Eike C.; Hendrich, Katharina; Czado, Claudia - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 722-732
Persistent link: https://www.econbiz.de/10010227893
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The role of a changing market environment for credit default swap pricing
Leppin, Julian S.; Reitz, Stefan - 2014
This paper investigates the impact of a changing market environment on the pricing of CDS spreads written on debt from EURO STOXX 50 firms. A Panel Smooth Transition Regression reveals that parameter estimates of standard CDS fundamentals are time-varying depending on current values of a set of...
Persistent link: https://www.econbiz.de/10010384174
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The role of a changing market : environment for credit default swap pricing
Leppin, Julian S.; Reitz, Stefan - 2014 - This version: July 2014
This paper investigates the impact of a changing market environment on the pricing of CDS spreads written on debt from EURO STOXX 50 firms. A Panel Smooth Transition Regression reveals that parameter estimates of standard CDS fundamentals are time-varying depending on current values of a set of...
Persistent link: https://www.econbiz.de/10010384565
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Volatility spillovers in the European bank CDS market
Alemany, Aida; Ballester, Laura; González-Urteaga, Ana - In: Finance research letters 13 (2015), pp. 137-147
Persistent link: https://www.econbiz.de/10011552425
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The role of a changing market environment for credit default swap pricing
Leppin, Julian Sebastian; Reitz, Stefan - In: International journal of finance & economics : IJFE 21 (2016) 3, pp. 209-223
Persistent link: https://www.econbiz.de/10011560274
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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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The role of a changing market environment for credit default swap pricing
Leppin, Julia S.; Reitz, Stefan - 2014
This paper investigates the impact of a changing market environment on the pricing of CDS spreads written on debt from EURO STOXX 50 firms. A Panel Smooth Transition Regression reveals that parameter estimates of standard CDS fundamentals are time-varying depending on current values of a set of...
Persistent link: https://www.econbiz.de/10010406814
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Credit spreads and bankruptcy information from options data
Tzeng, Chi-Feng - In: Annals of financial economics 9 (2014) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10010489092
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CDS spreads and contagion amongst systemically important financial institutions : a spatial econometric approach
Eder, Armin; Keiler, Sebastian - In: International journal of finance & economics : IJFE 20 (2015) 4, pp. 291-309
Persistent link: https://www.econbiz.de/10011495510