Absence-of-Arbitrage (AoA) is the basic assumption underpinning derivatives pricing theory. As part of the OTC derivatives market, the CDS market not only provides a vehicle for participants to hedge and speculate on the default risks of corporate and sovereign entities, it also reveals...

We propose a distress measure for national banking systems that incorporates not only banks' CDS spreads, but also how they interact with the rest of the global financial system via multiple linkage types. The measure is based on a tensor decomposition method that extracts an adjacency matrix...

We propose a distress measure for national banking systems that incorporates not only banks' CDS spreads, but also how they interact with the rest of the global financial system via multiple linkage types. The measure is based on a tensor decomposition method that extracts an adjacency matrix...

Recent academic studies have shown that since the mid-nineties, the pass-through of exogenous oil shocks into headline inflation has been increasing while the pass through into core inflation seems to have ceased. This paper explores the implications in terms of commodity allocation for...

The present study investigates the integration of environmental, social, and gover-nance (ESG) scores constructed from company misconduct and incident data intothe systematic investment process for equities. These ESG scores are used to set upvarious ESG investment strategies: From best-in-class...

In this paper we test whether the co-movement of sovereign CDS premia increased significantly after the Greek debt crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and Rigobon (2002). Our sample consists of daily data...

We find that exogenous structural shocks caused by terrorist attacks, wars, political turmoil and gold market specific events have a strong role to play in the analysis of dynamic relationships between gold and stock market returns. Our main finding is that the interaction between the gold...

This paper is related to the work of Patton (2011), who proposed the required robust loss functions MSE and QLIKE for imperfect fluctuations in the proxy variables, as well as the use of GW and MCS test for statistical analysis. In the same volatility model, the use the GW test pairing for...

Transitioning to a low-carbon economy involves risks for the value of financial assets, with potential ramifications for financial stability. We quantify the systemic impact on financial firms arising from changes in the value of financial assets under three climate transition scenarios that...

We explore the time-varying conditional correlations of the Sovereing CDS spread returns for Germany, France, China and Japan against USA. We employ a cDCC-AR-FIGARCH model in order to capture potential contagion effects between the markets during the 2011-2018 post global financial crisis....