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Market discipline and too-big-to-fail in the CDS market : does banks' size reduce market discipline?

Völz, Manja; Wedow, Michael - In: Journal of empirical finance 18 (2011) 2, pp. 195-210

Persistent link: https://www.econbiz.de/10009301132

The influence of systemic importance indicators on banks' credit default swap spreads

Cetina, Jill; Loudis, Bert - In: Journal of risk management in financial institutions 9 (2015/2016) 1, pp. 17-31

Persistent link: https://www.econbiz.de/10011488770

What drives the relationship between bank and sovereign credit risk?

Schnabel, Isabel; Schüwer, Ulrich - 2016

The positive relationship between bank and sovereign credit risk in the Eurozone, the so-called sovereign-bank nexus, is seen as a major threat for the stability of the Eurozone. This paper explores potential bank-level and country-level drivers of this relationship. We find that banks' home...

Persistent link: https://www.econbiz.de/10011559528

Portfolio diversification in the sovereign credit swap markets

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

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

CDS spreads and contagion amongst systemically important financial institutions : a spatial econometric approach

Eder, Armin; Keiler, Sebastian - In: International journal of finance & economics : IJFE 20 (2015) 4, pp. 291-309

Persistent link: https://www.econbiz.de/10011495510

Do sovereign ratings cause instability in cross-border emerging CDS markets?

Ballester, Laura; González-Urteaga, Ana - In: International review of economics & finance : IREF 72 (2021), pp. 643-663

Persistent link: https://www.econbiz.de/10012672072

Contagion of fear : is the impact of COVID-19 on sovereign risk really indiscriminate?

Cevik, Serhan; Öztürkkal, Belma - 2020

This paper investigates the impact of infectious diseases on the evolution of sovereign credit default swap (CDS) spreads for a panel of 77 advanced and developing countries. Using annual data over the 2004-2020 period, we find that infectious-disease outbreaks have no discernible effect on CDS...