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Measuring sovereign risk contagion in the Eurozone
Suh, Sangwon - In: International review of economics & finance : IREF 35 (2015), pp. 45-65
Persistent link: https://www.econbiz.de/10011333725
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Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries
Silvapulle, Paramsothy; Fenech, Jean Pierre; Thomasa, Alice - In: Economic modelling 58 (2016), pp. 83-92
Persistent link: https://www.econbiz.de/10011647047
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Systemic risk in the European Union : a network approach to banks' sovereign debt exposures
Westphal, Annika - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 244-279
portfolio contagion. In a complementary regression analysis, the effect of counterparty risk on Credit Default Swap (CDS …
Persistent link: https://www.econbiz.de/10011312216
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The role of macroeconomic news in sovereign CDS markets : domestic and spillover news effects from the U.S., the Eurozone and China
Kim, Suk-Joong; Salem, Leith; Wu, Eliza - In: Journal of financial stability 18 (2015), pp. 208-224
Persistent link: https://www.econbiz.de/10011574167
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Sovereign and bank CDS spreads : two sides of the same coin?
Avino, Davide; Cotter, John - In: Journal of international financial markets, … 32 (2014), pp. 72-85
Persistent link: https://www.econbiz.de/10011299805
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The future is today why truly long-term sovereign ratings are needed now
Kraemer, Moritz - 2021
Persistent link: https://www.econbiz.de/10012613032
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Contagion Effects between Sovereign and Bank Credit Spreads – A Global Analysis of Interdependencies between Sovereign and Bank CDS Spreads
Lahmann, Wolfgang - 2012
by euro zone member solvency issues. In this paper, we examine the contagion effects between sovereign and bank CDS … 2005 and April 2011. Our results show that before the sovereign debt crisis period there are few inter-regional contagion …
Persistent link: https://www.econbiz.de/10013111635
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Systemic risk and sovereign debt in the Euro area
Radev, Deyan - 2013
We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign debtors. We apply our measure to examine the fragility of the European...
Persistent link: https://www.econbiz.de/10010226548
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Will the bail-in break the vicious circle between banks and their sovereign?
Galliani, Clara; Zedda, Stefano - In: Computational economics 45 (2015) 4, pp. 597-614
Persistent link: https://www.econbiz.de/10011440965