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A joint analysis of market indexes in credit default swap, volatility and stock markets
Fonseca, José da; Wang, Peiming - In: Applied economics 48 (2016) 19/21, pp. 1767-1784
Persistent link: https://www.econbiz.de/10011589737
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Credit default swaps : a primer and some recent trends
Lando, David - In: Annual review of financial economics 12 (2020), pp. 177-192
Persistent link: https://www.econbiz.de/10012404625
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The financial economics of sovereign asset value : functional perspectives and market outcomes ; conference paper
Posch, Peter N.; Bowden, Roger J.; Kalteier, Eva-Maria - 2014
The asset value of government has traditionally been seen as the accounting value of public assets. We develop a detailed financial economics view on sovereign asset values using market measures to arrive at implied sovereign asset values. We establish definition and dependencies within the...
Persistent link: https://www.econbiz.de/10010486036
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CDS and equity markets' volatility linkages : lessons from the EMU crisis
Bratis, Theodoros; Laopodis, Nikiforos; Kouretas, … - In: Review of quantitative finance and accounting 60 (2023) 3, pp. 1259-1281
Persistent link: https://www.econbiz.de/10014291804
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Regime-switching determinants of emerging markets sovereign credit risk swaps spread
Ma, Jason Z.; Deng, Xiang; Ho, Kung-Cheng; Tsai, Sang-Bing - 2018
default swap (SCDS) spread changes on a nation's country-specific fundamental factors, local, regional and macroeconomic …
Persistent link: https://www.econbiz.de/10011866091
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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
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Cross-border credit derivatives linkages
Bianch, Benedetta - 2021
This paper is a first attempt to include credit derivatives in international macrofinancial analysis. We document that gross credit derivatives holdings map to bilateral portfolio investment linkages. On a net basis, our results suggest an asymmetry between sectors and between net buyers and net...
Persistent link: https://www.econbiz.de/10012485990
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Assessing contagion risks from the CDS market
Brunnermeier, Markus Konrad; Clerc, Laurent; El Omari, Yanis - 2013
Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk … trading. The first-ever credit event in a developed country's sovereign CDS has further highlighted the importance of the CDS … market from a macro-prudential perspective. Developments in the European sovereign CDS market are a part of the major …
Persistent link: https://www.econbiz.de/10011972792
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Sovereign credit default swaps : Managing risks when the fiscal house rumbles
Rajaratnam, Indra - In: Journal of risk management in financial institutions 16 (2023) 4, pp. 409-426
Persistent link: https://www.econbiz.de/10014441050
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The relevance of market variables in the CDS spread volatility : an empirical post-crisis analysis
Di Febo, Elisa; Angelini, Eliana - In: Global business review 19 (2018) 6, pp. 1462-1477
Persistent link: https://www.econbiz.de/10011982810