selected corporations belonged to the EuroStoxx 50 Index and whose CDS (Credit Default Swap) may be found in the iTraxx Europe …) show that the impact on the credit risk of the companies, as measured by the change in the spread of CDS, is important and …

credit default swaps (CDS) to determine whether they are useful tools for the measurement of the sovereign risk either … 2008-2016. By applying the causality Granger test for these variables, after six different ways of proxy, CDS premia are … other cases. So the CDS market contains clear and highly useful information on the sovereign risk. …

This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and … integrated price discovery methodology on a rolling sample, with the intention to shed light on whether the CDS spreads can … trigger rises in bond spreads, and the relative efficiency of credit risk pricing in the CDS and bond markets. In addition, we …