This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during …. Moreover, in the period prior to the recent ‘Great Recession’ credit risk plays no role in explaining CDS price changes. The … dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of default risk …

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during … conditions. Moreover, in the period prior to the recent “Great Recession” credit risk plays no role in explaining CDS price … changes. The dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of …

the empirical evidence on European sovereigns CDS spreads and estimate an econometric model where a crucial role is played … by time varying parameters. We model CDS spread changes at country level as reflecting three different factors: a Global …

multivariate GARCH model to sovereign CDS spreads of 17 countries over the period 2008 to 2012. Second, we separate periods of …

Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during … the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their … protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not …

intraday credit default swaps (CDS) data prior to the crisis period (2008-Oct. 2009) and during the crisis period (Oct. 2009 …

use a parsimonious CDS pricing model to estimate the probability of default (PD) and the loss given default (LGD) as …

use a parsimonious CDS pricing model to estimate market implied measures of the probability of default (PD) and of the …

Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during … the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their … protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not …