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Portfolio diversification in the sovereign credit swap markets

Consiglio, Andrea; Lotfi, Somayyeh; Zenios, Stauros Andrea - 2016

Persistent link: https://www.econbiz.de/10011539351

Assessment of time-varying systemic risk in credit default swap indices : simultaneity and contagiousness

Choe, Geon Ho; Choi, So Eun; Jang, Hyun Jin - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012666122

Do global risk factors and macroeconomic conditions affect global Islamic index dynamics? : a quantile regression approach

Naifar, Nader - In: The quarterly review of economics and finance : journal … 61 (2016), pp. 29-39

Persistent link: https://www.econbiz.de/10011627504

Volatility spillovers and connectedness among credit default swap sector indexes

Fonseca, José da; Ignatieva, Ekaterina - In: Applied economics 50 (2018) 36, pp. 3923-3936

Persistent link: https://www.econbiz.de/10012060164

Extreme risk spillovers between crude palm oil prices and exchange rates

Go, You-How; Lau, Wee-Yeap - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10013188167

GFC-robust risk management strategies under the Basel Accord

McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - In: International review of economics & finance : IREF 27 (2013), pp. 97-111

Persistent link: https://www.econbiz.de/10009740861

Liquidity commonalities in the corporate CDS market around the 2007-2012 financial crisis

Mayordomo, Sergio; Rodriguez-Moreno, Maria; Peña … - In: International review of economics & finance : IREF 31 (2014), pp. 171-192

Persistent link: https://www.econbiz.de/10010490426

Does Central Clearing Affect Counterparty Risk and Liquidity Risk in the Sovereign CDS Market?

Molleyres, Josephine; Zimmermann, Heinz - 2023

Central counterparty clearing houses (CCPs) provide risk management for OTC transactions. Using a global sample of sovereign credit default swaps (CDS) issued between 2010 and 2017, this paper analyzes the impact of the global structural shift from over-the-counter to voluntary CCP clearing of...

Persistent link: https://www.econbiz.de/10014257451

Evaluation of market risk associated with hedging a credit derivative portfolio

Chamizo, Álvaro; Novales, Alfonso - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 411-430

Persistent link: https://www.econbiz.de/10012655516

Impact of the ban on uncovered SCDS trade on the interdependencies between the CDS market and other sectors of financial markets : the case of safe and developed versus risky and d...

Kliber, Agata - In: Comparative economic research : Central and Eastern Europe 19 (2016) 1, pp. 75-97

Persistent link: https://www.econbiz.de/10011598086

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