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Determinants of credit default swaps spreads in European and Asian markets
Hassan, M. Kabir; Ngow, Thiti S.; Yu, Jung-suk; Hassan, … - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 295-310
Persistent link: https://www.econbiz.de/10010259397
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What are the driving factors behind the rise of spreads and CDS of euro-area sovereign bonds? : a FAVAR model for Greece and Ireland
Apergēs, Nikolaos; Mamatzakis, Emmanuel C. - In: International journal of economics and business research 7 (2014) 1, pp. 104-120
Persistent link: https://www.econbiz.de/10010351548
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The state dependent impact of bank exposure on sovereign risk
Podstawski, Maximilian; Velinov, Anton - 2016 - This version: February 11, 2016
The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived default risk by acting as a disciplinary device for the...
Persistent link: https://www.econbiz.de/10011436025
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Spread risk premia in corporate credit default swap markets
Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and capital markets : Kredit und Kapital 47 (2014) 4, pp. 571-610
Persistent link: https://www.econbiz.de/10010477424
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The determinants of CDS spreads
Galil, Koresh; Shapir, Offer Moshe; Amiram, Dan; … - In: Journal of banking & finance 41 (2014), pp. 271-282
Persistent link: https://www.econbiz.de/10010408463
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Persistence of volatility of sovereign credit risk in presence of structural breaks
Ngene, Geoffrey; Carley, Hannah; Hassan, Mohammad Kabir - In: Journal of derivatives & hedge funds 20 (2014) 1, pp. 10-27
Persistent link: https://www.econbiz.de/10010463011
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Sovereign bond spreads and credit default swap premia : cointegration and causality
Martín García, Margarita; Téllez, Cecilia; Martín … - In: Investment management and financial innovations 11 (2014) 2, pp. 47-59
Persistent link: https://www.econbiz.de/10010392834
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What drives corporate default risk premia? : evidence from the CDS market
Díaz, Antonio; Groba, Jonatan; Serrano, Pedro - In: Journal of international money and finance 37 (2013), pp. 529-563
Persistent link: https://www.econbiz.de/10010209025
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Credit default swaps : a primer and some recent trends
Lando, David - In: Annual review of financial economics 12 (2020), pp. 177-192
Persistent link: https://www.econbiz.de/10012404625
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What explains the sovereign credit default swap spreads changes in the GCC region?
Naifar, Nader - In: Journal of risk and financial management : JRFM 13 (2020) 10/245, pp. 1-22
This paper aimed to investigate the drivers of sovereign credit risk spreads changes in the case of four Gulf Cooperation Council (GCC) countries, namely Kingdom of Saudi Arabia (KSA), the United Arab Emirates (UAE), Qatar, and Bahrain. Specifically, we explained the changes in sovereign credit...
Persistent link: https://www.econbiz.de/10012387138