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Assessing contagion risks from the CDS market
Brunnermeier, Markus Konrad; Clerc, Laurent; El Omari, Yanis - 2013
Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk … (default-free) risk-free benchmark (i.e. bearing interest rate risk only) to sovereign debt as a credit risk asset. Therefore … default chain scenarios for major participants in the CDS market; again, following the literature on interbank networks, we …
Persistent link: https://www.econbiz.de/10011972792
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The risk structural of European sovereign credit default swap before and after in European periphery countries
Tellalbaşı, Işıl - In: International journal of economics and finance 6 (2014) 1, pp. 165-182
Persistent link: https://www.econbiz.de/10010236860
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On the compensation for illiquidity in sovereign credit markets
Lafuente, Juan Angel; Serrano, Pedro - In: Journal of multinational financial management 30 (2015), pp. 83-100
Persistent link: https://www.econbiz.de/10011539536
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Healthy ... distress ... default
Kakushadze, Zura - In: Journal of risk & control 6 (2019) 1, pp. 113-119
Persistent link: https://www.econbiz.de/10012237605
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Liquidity and default in an exchange economy
Martínez S., Juan Francisco; Tsomocos, Dimitrios P. - In: Journal of financial stability 35 (2018), pp. 192-214
Persistent link: https://www.econbiz.de/10012156867
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Asset volatility
Correia, Maria; Kang, Johnny; Richardson, Scott - In: Review of accounting studies 23 (2018) 1, pp. 37-94
Persistent link: https://www.econbiz.de/10011848277
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Endogenous debt maturity : liquidity risk vs. default risk
Manuelli, Rodolfo E.; Sanchez, Juan M. - 2018
Persistent link: https://www.econbiz.de/10011950510
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Credit spreads with jump risks and stationary leverage ratio
Kim, Hwa-sung - In: Asia-Pacific journal of financial studies 39 (2010) 1, pp. 53-69
Persistent link: https://www.econbiz.de/10009315272
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Liquidity risk of corporate bond returns : conditional approach
Acharya, Viral V.; Amihud, Yakov; Bharath, Sreedhar T. - In: Journal of financial economics 110 (2013) 2, pp. 358-386
Persistent link: https://www.econbiz.de/10010208670
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Sovereign bond spreads and credit sensitivity
Schefer, Ricardo - 2020
Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because they have no contractual claims to defined assets and samples of defaults are limited. A geometric version of credit spread is used to derive expected payments, dependent on...
Persistent link: https://www.econbiz.de/10012307696