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Quantifying the transmission of European sovereign default risk

Dumitru, Ana-Maria H.; Holden, Tom D. - 2019

We build a non-stationary Hawkes model of sovereign credit risk for seven European countries, and estimate it on CDS data from the run-up to the Greek default. We model a country's credit risk as partly driven by a weighted combination of risks across countries. We find Spain and Portugal are...

Persistent link: https://www.econbiz.de/10012063227

Why do investors buy sovereign default insurance?

Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016

We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...

Persistent link: https://www.econbiz.de/10011541398

CDS central counterparty clearing default measures : road to recovery or invitation to predation?

Tywoniuk, Magdalena - 2020

theoretical results with parameter magnitudes and sensitivities. Examination of three market liquidity scenarios provides … intuition for effective liquidity injection by a Lender of Last Resort …

Persistent link: https://www.econbiz.de/10012419635

CDS central counterparty clearing liquidation : road to recovery or invitation to predation?

Tywoniuk, Magdalena - 2017

well as, regulatory implications for a Lender of Last Resort in various liquidity scenarios …

Persistent link: https://www.econbiz.de/10011870658

Systemic risk and sovereign debt in the Euro area

Radev, Deyan - 2013

system, we find that bigger banks, banks with riskier activities, with poor asset quality, and funding and liquidity …

Persistent link: https://www.econbiz.de/10010226548

Liquidity Provision, Credit Risk and the Bond Spread : New Evidence from the Subprime Mortgage Market

An, Xudong - 2015

We study the determinants of the subprime mortgage loan spread, with a particular focus on funding liquidity and … default-liquidity interaction effects. We find that sector-level as well as macro funding liquidity provision affected … subprime loan rates, explaining a significant portion of the variation in spreads. Liquidity conditions just prior to loan …

Persistent link: https://www.econbiz.de/10013012971

What does the CDS market imply for a U.S. default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023 - Revised: May 17, 2023

As the debt ceiling episode unfolds, we highlight a sharp increase in activity across the U.S. credit default swaps (CDS) market and infer the likelihood of a U.S. default from these market prices. Beginning in January 2023, we document a significant increase in U.S. CDS trading activity and...

Persistent link: https://www.econbiz.de/10014249852

How does sovereign bond market integration relate to fundamentals and CDS spreads?

Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2016

We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign...

Persistent link: https://www.econbiz.de/10011618981

Liquidity and Credit Risk Premia in Government Bond Yields

Ejsing, Jacob Wellendorph - 2012

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we …-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …

Persistent link: https://www.econbiz.de/10013106056

Financial Frictions and Credit Spreads

Pang, Ke - 2012

This paper uses the credit-friction model developed by C'urdia and Woodford, in a series of papers, as the basis for attempting to mimic the behavior of credit spreads in moderate as well as in times of crisis. We are able to generate movements in representative credit spreads that are, at...

Persistent link: https://www.econbiz.de/10013115635

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