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Credit Default Swap & Variance Risk Premia
Zgolli, Ghada - 2012
. The explanatory power of the theoretical variables for levels of default swap premia is approximately 89%. The explanatory … explanatory power for credit default swap premia. A principal component analysis of the residuals and the premia shows that there … important determinants of credit default swap premia, as predicted by theory …
Persistent link: https://www.econbiz.de/10013096403
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Implied Liquidity Risk Premium in the Term Structure of Sovereign Credit Default Swap and Bond Spreads
Badaoui, Saad - 2014
credit default swap (CDS) and bond markets. We show that liquidity risk has a non-trivial role and participates directly to …
Persistent link: https://www.econbiz.de/10013063132
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Decomposition of country-specific corporate bond spreads
Dötz, Niko - 2014
This paper presents a new approach, based on the Merton model, to decomposing corporate bond spreads into the expected loss, bond risk premium and liquidity premium components. The approach focuses on establishing the bond risk premium using the equity risk premium and the hedge ratio, which are...
Persistent link: https://www.econbiz.de/10010458538
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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne Christian; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855295
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Lemmings in the Bond Market? An Empirical Analysis of the Term Structure of Credit Spreads
Rokkanen, Nikolas - 2010
The paper examines the credit spread between government and corporate bonds at different maturities. Theoretical models assume that credit risk premiums for high quality firms monotonously increase with maturity. We find evidence suggesting that bonds issued at maturities attracting the highest...
Persistent link: https://www.econbiz.de/10013142123
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Greek sovereign credit market dynamics : credit default swap and bond spreads' linkages
Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International journal of trade and global markets 5 (2012) 3/4, pp. 268-280
Persistent link: https://www.econbiz.de/10009722093
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Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 182 (2014) 2, pp. 397-411
Persistent link: https://www.econbiz.de/10010497742
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Liquidity Tail Risk and Credit Default Swap Spreads
Irresberger, Felix - 2018
We show that liquidity tail risk in credit default swap (CDS) spreads is time-varying and explains variation in CDS …
Persistent link: https://www.econbiz.de/10012936557
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Inside the Emerging Markets Risky Spreads and Credit Default Swap - Sovereign Bonds Basis
Yordanov, Vilimir - 2018
The paper considers a no-arbitrage setting for pricing and relative value analysis of risky sovereign bonds. The typical case of an emerging market country (EM) that has bonds outstanding both in foreign hard currency (Eurobonds) and local soft currency (treasuries) is inspected. The resulting...
Persistent link: https://www.econbiz.de/10012937615
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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