In this study, we use a factor model in order to decompose sovereign Credit Default Swaps (CDS) spreads into default, liquidity, systematic liquidity and correlation components. By calibrating the model to sovereign CDSs and bonds we are able to present a better decomposition and a more accurate...

We exploit the exogenous COVID-19 shock in a bicultural area of Italy to identify cultural differences in the way companies respond to economic shocks, and in their resilience to those shocks. Firms with managers of diverse cultural backgrounds resort to different forms of government aid,...

We explore the impact of media content on sovereign credit risk. Our measure of media tone is extracted from the Thomson Reuters News Analytics database. As a proxy for sovereign credit risk we consider Credit Default Swap (CDS) spreads, which are decomposed into their risk premium and default...