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US Treasury market default risk and global interbank liquidity risk

Cottrell, Simon; Lei, Jinghua; Ma, Yihong; Delpachitra, … - In: Borsa Istanbul Review 25 (2025) 1, pp. 66-78

Using Credit Default Swaps (CDS) on sovereign bonds, we investigate whether US sovereign default risk is a greater driving factor of domestic interbank funding risk than domestic sovereign default risk across the five Libor counties including Canada and Australia. We use equivalent-country...

Persistent link: https://www.econbiz.de/10015334486

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

Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018

Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....

Persistent link: https://www.econbiz.de/10011888333

Measuring sovereign credit risk of the EU countries

Siuda, Vojtěch; Szabo, Milan - In: Journal of central banking theory and practice 10 (2021) 3, pp. 169-192

European countries have increased significantly their public debt since the Global Financial Crisis. The increasing trend and the high concentration of public debt in portfolios of financial institutions can lead to a financial turmoil we witnessed during the European Sovereign Debt Crisis....

Persistent link: https://www.econbiz.de/10012650932

Brazil’s Sovereign Credit Risk : Changes from 2016 to 2021

Hu, Kelly - 2021

. Because of its export composition, Brazil faces risk from export demand volatility, and revenue is unable to hold this …

Persistent link: https://www.econbiz.de/10013314214

Contagion Effects between Sovereign and Bank Credit Spreads – A Global Analysis of Interdependencies between Sovereign and Bank CDS Spreads

Lahmann, Wolfgang - 2012

The interdependencies of sovereign and banking sector credit spreads have been the subject of previous research. Since the 2007-2009 financial crisis the topic has an additional dimension as the size and structure of countries' balance sheets have changed due to various financial sector...

Persistent link: https://www.econbiz.de/10013111635

Sovereign default risk linkage : implication for portfolio diversification

Hassan, Kamrul; Hoque, Ariful; Gasbarro, Dominic - In: Pacific-Basin finance journal 41 (2017), pp. 1-16

Persistent link: https://www.econbiz.de/10011800480

Modeling sovereign credit default swaps volatility at different tenures : an application for Latin American countries

Gamboa-Estrada, Fredy; Romero, José Vicente - In: Borsa Istanbul Review 24 (2024) 4, pp. 772-786

(SCDS) in Latin America at different tenures, focusing on their volatility. Using a component generalized autoregressive … conditional heteroskedasticity model, it decomposes volatility into permanent and transitory components. It finds that the … permanent component of SCDS volatility in all tenures was higher and more persistent during the Global Financial Crisis than …

Persistent link: https://www.econbiz.de/10014635386

Sovereign bond spreads and CDS premia in the Eurozone : a causality analysis

Téllez, Cecilia; Martín García, Margarita; Ramón … - In: Revista de métodos cuantitativos para la economía y … 30 (2020), pp. 58-78

This article presents an analysis of the possible relationship between the spreads of sovereign bonds and the premia of credit default swaps (CDS) to determine whether they are useful tools for the measurement of the sovereign risk either separately or by taking into account the joint evolution...

Persistent link: https://www.econbiz.de/10012436652

In Sickness and in Debt : The COVID-19 Impact on Sovereign Credit Risk

Augustin, Patrick - 2020

The COVID-19 pandemic provides a unique setting in which to evaluate the importance of a country's fiscal capacity in explaining the relation between economic growth shocks and sovereign default risk. For a sample of 30 developed countries, we find a positive and significant sensitivity of...

Persistent link: https://www.econbiz.de/10012832689