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Interconnectedness and systemic risk in the US CDS market
Kanno, Masayasu - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012666019
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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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CDX and iTraxx and their relation to the systemically important financial institutions : evidence from the 2008 - 2009 financial crisis
Calice, Giovanni - In: Journal of international financial markets, … 32 (2014), pp. 20-37
Persistent link: https://www.econbiz.de/10011299808
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Why do investors buy sovereign default insurance?
Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016
changes in bank capital adequacy requirements. All our findings suggest that sovereign CDS are more likely used for hedging …
Persistent link: https://www.econbiz.de/10011541398
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Contagion in the CDS market
Paddriky, Mark; Rajanz, Sriram; Young, H. Peyton - 2017
Persistent link: https://www.econbiz.de/10011630278
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How connected is the global sovereign credit risk network?
Bostancı, Gorkem; Yılmaz, Kamil - 2015
We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the network structure of global sovereign credit risk. In particular, using the elastic net estimation method, we separately estimate networks of daily SCDS returns and volatilities...
Persistent link: https://www.econbiz.de/10011326149
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CDS spreads and systemic risk : a spatial econometric approach
Keiler, Sebastian; Eder, Armin - 2013
and idiosyncratic risk premium. We identify considerable risk spill overs due to the interconnectedness of the financial …
Persistent link: https://www.econbiz.de/10009695965
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"Too interconnected to fail" financial network of US CDS market : topological fragility and systemic risk
Markose, Sheri M.; Giansante, Simone; Shaghaghi, Ali Rais - In: Journal of economic behavior & organization : JEBO 83 (2012) 3, pp. 627-646
Persistent link: https://www.econbiz.de/10009697980
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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
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The conditional dependence structure of insurance sector credit default swap indices
Tamakoshi, Go; Hamori, Shigeyuki - In: The North American journal of economics and finance : a … 30 (2014), pp. 122-132
Persistent link: https://www.econbiz.de/10010463549