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Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007-2013

Hui, Cho H.; Fong, Tom - In: International review of economics & finance : IREF 40 (2015), pp. 174-190

Persistent link: https://www.econbiz.de/10011573573

Closed Form Solutions for Contingent CDS on Cross Currency Swaps

Hoehnle, Rainer - 2020

a closed form solution for the PV of a contingent credit default swap (CCDS) that pays in default the outstanding mark … to market price of a cross currency swap provided the latter is positive. The paper also provides conditions which …

Persistent link: https://www.econbiz.de/10012846902

How do sovereign risk, equity and foreign exchange derivatives markets interact?

Ibhagui, Oyakhilome - In: Economic modelling 97 (2021), pp. 58-78

Persistent link: https://www.econbiz.de/10012793299

Sovereign Credit Default Swaps and the Currency Forward Bias

Calice, Giovanni; Lin, Ming-Tsung - 2022

We study the links between sovereign credit risk and the currency forward bias. In a setting of defaultable sovereign bonds, we show that the forward bias can be negatively linked to sovereign credit risk. We confirm empirically that the forward bias is negatively associated to sovereign CDS...

Persistent link: https://www.econbiz.de/10014238661

Sovereign credit default swaps and the currency forward bias

Calice, Giovanni; Lin, Ming-Tsung - In: Journal of international financial markets, … 86 (2023), pp. 1-25

Persistent link: https://www.econbiz.de/10014433385

Trading strategies with implied forward credit default swap spreads

Leccadito, Arturo; Tunaru, Radu; Urga, Giovanni - In: Journal of banking & finance 58 (2015), pp. 361-375

Persistent link: https://www.econbiz.de/10011544021

Credit-implied forward volatility and volatility expectations

Byström, Hans N. E. - In: Finance research letters 16 (2016), pp. 132-138

Persistent link: https://www.econbiz.de/10011655141

Sovereign Credit Default Swaps and the Currency Forward Bias

Calice, Giovanni; Lin, Ming-Tsung - 2022

We study the links between sovereign credit risk and the currency forward bias. In a setting of defaultable sovereign bonds, we show that the forward bias can be linked negatively to sovereign credit risk. We confirm empirically that the forward bias is negatively associated to sovereign CDS...

Persistent link: https://www.econbiz.de/10013289311

Exchange rates and sovereign risk

Della Corte, Pasquale; Sarno, Lucio; Schmeling, Maik; … - In: Management science : journal of the Institute for … 68 (2022) 8, pp. 5591-5617

Persistent link: https://www.econbiz.de/10013370992

Euro periphery sovereign default swap pricing

Realdon, Marco - In: The IUP journal of financial risk management : IJFRM 9 (2012) 1, pp. 7-27

Persistent link: https://www.econbiz.de/10009569548