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Dependence structures between sovereign credit default swaps and global risk factors in BRICS countries

Rikhotso, Prayer M.; Simo-Kengne, Beatrice D. - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-22

This study investigates the tail dependence structures of sovereign credit default swaps (CDSs) and three global risk factors in BRICS countries using a copula approach, which is popular for capturing the “true” tail dependence based on the “distribution-adjusted” joint marginals. The...

Persistent link: https://www.econbiz.de/10013161740

Do sovereign ratings cause instability in cross-border emerging CDS markets?

Ballester, Laura; González-Urteaga, Ana - In: International review of economics & finance : IREF 72 (2021), pp. 643-663

Persistent link: https://www.econbiz.de/10012672072

In search of distress risk in emerging markets

Asis, Gonzalo; Chari, Anusha; Haas, Adam - In: Journal of international economics 131 (2021), pp. 1-26

Persistent link: https://www.econbiz.de/10013167860

On the determinants of expected corporate bond returns in Tunisia

Hammami, Yacine; Bahri, Maha - In: Research in international business and finance 38 (2016), pp. 224-235

Persistent link: https://www.econbiz.de/10011640643

Political risk spreads

Bekaert, Geert; Harvey, Campbell R.; Lundblad, Christian; … - In: Journal of international business studies : JIBS ; an … 45 (2014) 4, pp. 471-493

Persistent link: https://www.econbiz.de/10010362449

Valuing emerging markets companies : new approaches to determine the effective exposure to country risk

Roggi, Oliviero; Giannozzi, Alessandro; Baglioni, Tommaso - In: Research in international business and finance 39 (2017), pp. 553-567

Persistent link: https://www.econbiz.de/10011876646

Sovereign debt and corporate borrowing costs in emerging markets

Ağca, Şenay; Celasun, Oya - In: Journal of international economics 88 (2012) 1, pp. 198-208

Persistent link: https://www.econbiz.de/10010220094

Sovereign yields and the risk-taking channel of currency appreciation

Hofmann, Boris; Shim, Ilhyock; Shin, Hyun Song - 2016

Persistent link: https://www.econbiz.de/10011438454

Identifying risks in emerging market sovereign and corporate bond spreads

Zinna, Gabriele - In: Emerging markets review 20 (2014), pp. 1-22

Persistent link: https://www.econbiz.de/10010419487

An analysis of the effect of currency mismatch on a country's default risk

Janković, Irena; Živković, Boško - In: Economic annals 59 (2014) 201, pp. 85-121

Persistent link: https://www.econbiz.de/10010458165

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