by euro zone member solvency issues. In this paper, we examine the contagion effects between sovereign and bank CDS … effects between sovereign vs. bank default risk. By contrast, since the sovereign debt crisis period we observe significant … dependencies between the regional sovereign CDS and the regional bank CDS in other regions, predominantly for the Asia-Pacific and …

. This paper studies the relation between global bond issuer’s currency denomination decisions and prevailing borrowing costs … borrowers. Furthermore, global bond borrowers appear to respond more strongly to deviations from covered interest parity after …

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …

for the eurozone. The triple euro area crisis showed the costly consequences of ignoring the "safety trilemma". Keeping a … tranches of each national government bond in a proportion such that the expected safety of the senior tranche is the same …

separately or by taking into account the joint evolution of their values. The data refer to ten countries in the Eurozone along …

the Eurozone. The adjusted correlation analysis confirms that Greece and other PIIGS (even Spain and Italy) have lower …

particular, we show that being a weakly capitalized bank is not related to higher holdings of domestic sovereign debt. While a … strong link is present between central bank liquidity support and sovereign holdings, opportunistic strategies or reach … advantage of their higher risk-bearing capacity to gain exposure (via central bank liquidity) to the set of riskier sovereign …

With the recent development of the European debt crisis, traditional index bond management has been severely called …-budgeting approach is the most appropriate scheme to manage sovereign risk in bond portfolios and gives very appealing results with … respect to active management of bond portfolios …