This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and … trigger rises in bond spreads, and the relative efficiency of credit risk pricing in the CDS and bond markets. In addition, we … in price discovery, incorporating the new information about sovereign credit risk faster and more efficiently than the …

This study investigates the tail dependence structures of sovereign credit default swaps (CDSs) and three global risk … “distribution-adjusted” joint marginals. The empirical results show that global market risk sentiment comoves with sovereign CDS … second biggest risk factor correlated with CDS spreads for Brazil and South Africa, while exchange rate risk exhibits very …

-volatility framework. In this paper, we analyzed the price discovery process of the Italian banks’ Credit Default Swap (CDS) spreads … through the Merton model, extended with the inclusion of a redenomination risk proxy, as to say, the risk that Italy could … commonly recognized periods of socio-political and financial distress. Results show that the redenomination risk is …