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CDS spreads, systemic risk and interconnectedness

Pelster, Matthias - In: The international journal of finance 27 (2015) 1, pp. 105-124

Persistent link: https://www.econbiz.de/10011691250

Detecting granular time series in large panels

Brownlees, Christian; Mesters, Geert - 2017

Persistent link: https://www.econbiz.de/10011779238

Firm-specific risk-neutral distributions : the role of CDS spreads

Aramonte, Sirio; Jahan-Parvar, Mohammad R.; Rosen, Samuel; … - 2017

We propose a method to extract individual firms' risk-neutral return distributions by combining options and credit default swaps (CDS). Options provide information about the central part of the distribution, and CDS anchor the left tail. Jointly, options and CDS span the intermediate part of the...

Persistent link: https://www.econbiz.de/10011779565

Media sentiment and CDS spread spillovers : evidence from the GIIPS countries

Apergēs, Nikolaos; Lau, Chi Keung; Yarovaya, Larisa - In: International review of financial analysis 47 (2016), pp. 50-59

Persistent link: https://www.econbiz.de/10011624044

Volatility spillovers in the European bank CDS market

Alemany, Aida; Ballester, Laura; González-Urteaga, Ana - In: Finance research letters 13 (2015), pp. 137-147

Persistent link: https://www.econbiz.de/10011552425

The reaction of sovereign CDS spread volatilities to news announcements

Bouzgarrou, Houssam; Chebbi, Tarek - In: The journal of asset management 17 (2016) 5, pp. 347-360

Persistent link: https://www.econbiz.de/10011634678

Market perception of sovereign credit risk in the euro area during the financial crisis

Camba-Méndez, Gonzalo; Serwa, Dobromił - In: The North American journal of economics and finance : a … 37 (2016), pp. 168-189

Persistent link: https://www.econbiz.de/10011672946

Pricing sovereign credit risk of Poland : evidence from the CDS market

Camba-Méndez, Gonzalo; Kostrzewa, Konrad; Marszal, Anna; … - In: Emerging markets finance & trade : a journal of the … 52 (2016) 10/12, pp. 2687-2705

Persistent link: https://www.econbiz.de/10011675567

ECB monetary policy and bank default risk

Soenen, Nicolas; Vander Vennet, Rudi - In: Journal of international money and finance 122 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013433381

ECB's unconventional monetary policy and spillover effects between sovereign and bank credit risk

Katsampoxakis, Ioannis - In: EuroMed journal of business 17 (2022) 2, pp. 218-245

Persistent link: https://www.econbiz.de/10013362444