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Assessing sovereign default risk : a bottom-up approach

Liu, Feng; Kalotay, Egon; Trück, Stefan - In: Economic modelling 70 (2018), pp. 525-542

Persistent link: https://www.econbiz.de/10012027982

Estimating redenomination risk under Gumbel-Hougaard survival copulas

Cherubini, Umberto - In: Journal of economic dynamics & control 133 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10014535826

What does the CDS market imply for a U.S. default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023 - Revised: May 17, 2023

As the debt ceiling episode unfolds, we highlight a sharp increase in activity across the U.S. credit default swaps (CDS) market and infer the likelihood of a U.S. default from these market prices. Beginning in January 2023, we document a significant increase in U.S. CDS trading activity and...

Persistent link: https://www.econbiz.de/10014249852

Spillover among sovereign credit risk and the role of climate uncertainty

Naifar, Nader - In: Finance research letters 61 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10014490623

Systemic risk and financial stability dynamics during the Eurozone debt crisis

Bratis, Theodoros; Laopodis, Nikiforos; Kouretas, … - In: Journal of financial stability 47 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012391474

A zero-risk weight channel of sovereign risk spillovers

Kirschenmann, Karolin; Korte, Josef; Steffen, Sascha - In: Journal of financial stability 51 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012431750

Spillovers from one country's sovereign debt to CDS (credit default swap) spreads of others during the European crisis : a spatial approach

Kışla, Gül Huyugüzel; Muradoğlu, Gülnur; Özlem … - In: The journal of asset management : a major new, … 23 (2022) 4, pp. 277-296

Persistent link: https://www.econbiz.de/10013391984

Sovereign default forecasting in the era of the COVID-19 crisis

Kristóf, Tamás - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-24

-homogeneous Markov chain method as the basis for a COVID-19-related sovereign default risk forecast model. It demonstrates the estimation …

Persistent link: https://www.econbiz.de/10012792441

Credit default swaps in general equilibrium : spillovers, credit spreads, and endogenous default

Darst, R. Matthew; Refayet, Ehraz - 2016

Persistent link: https://www.econbiz.de/10011500390

Credit Default Swaps in General Equilibrium : Spillovers, Credit Spreads, and Endogenous Default

Darst, Matthew - 2016

This paper highlights two new effects of credit default swap markets (CDS) in a general equilibrium setting. First, when firms' cash flows are correlated, CDSs impact the cost of capital{credit spreads{and investment for all firms, even those that are not CDS reference entities. Second, when...

Persistent link: https://www.econbiz.de/10012992726