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Time-varying price discovery in sovereign credit markets
Guidolin, Massimo; Pedio, Manuela; Tosi, Alessandra - In: Finance research letters 38 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10012485013
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Panel multi-predictor test procedures with an application to emerging market sovereign risk
Westerlund, Joakim; Thuraisamy, Kannan Sivananthan - In: Emerging markets review 28 (2016), pp. 44-60
Persistent link: https://www.econbiz.de/10011670975
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The influence of sovereign bond yields on bank lending rates: the pass-through in Europe
Eller, Markus; Reininger, Thomas - In: Focus on European economic integration (2016) 2, pp. 54-78
Persistent link: https://www.econbiz.de/10011672403
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Intraday dynamics of credit risk contagion before and during the euro area sovereign debt crisis : evidence from central Europe
Ters, Kristyna; Urban, Jörg - In: International review of economics & finance : IREF 54 (2018), pp. 123-142
Persistent link: https://www.econbiz.de/10012033352
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Sovereign rating actions and the implied volatility of stock index options
Tran, Vu; Alsakka, Rasha; Ap Gwilym, Owain - In: International review of financial analysis 34 (2014), pp. 101-113
Persistent link: https://www.econbiz.de/10010528470
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An empirical study of CDS premium on the Korean sovereign bond : some effect of the CTD option
Park, Keehwan; Lee, Sangki - In: Emerging markets finance & trade : a journal of the … 53 (2017) 4, pp. 848-864
Persistent link: https://www.econbiz.de/10011764608
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Quantifizierung von Souveränrisiken
Maltritz, Dominik - 2006
Persistent link: https://www.econbiz.de/10003336000
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Forecasting sovereign default risk with Merton's model
Duyvesteyn, Johan; Martens, Martin - In: The journal of fixed income 25 (2015) 2, pp. 58-71
Persistent link: https://www.econbiz.de/10011399885
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When is there a strong transfer risk from the sovereigns to the corporates?
Bai, Jennie; Wei, Shang-jin - 2012
When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one reason why international investment in private companies has to take into account the sovereign risk. But the likelihood of sovereign risk transferring to corporates and...
Persistent link: https://www.econbiz.de/10009657607
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When is there a strong transfer risk from the sovereigns to the corporates? : property rights gaps and CDS spreads
Bai, Jennie; Wei, Shang-jin - 2012
Persistent link: https://www.econbiz.de/10009705819