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The effect of the PSI in the relationship between sovereign and bank credit risk : evidence from the euro area

Papafilis, Michalis-Panayiotis; Psillaki, Maria; … - In: Multinational finance journal 23 (2019) 3/4, pp. 211-272

Persistent link: https://www.econbiz.de/10012590840

Does nonperforming loan securitization affect credit default swap spreads? : evidence from European banks

Di Tommaso, Caterina; Pacelli, Vincenzo - In: Journal of international financial management & accounting 33 (2022) 2, pp. 285-306

Persistent link: https://www.econbiz.de/10013279498

Firm-specific risk-neutral distributions with options and CDS

Aramonte, Sirio; Jahan-Parvar, Mohammad R.; Rosen, Samuel; … - 2021

Persistent link: https://www.econbiz.de/10012483801

Market price effects of agency sovereign debt announcements : importance of prior credit states

Binici, Mahir; Hutchison, Michael M.; Miao, Evan Weicheng - In: International review of economics & finance : IREF 69 (2020), pp. 769-787

Persistent link: https://www.econbiz.de/10012487452

Contagion of fear : is the impact of COVID-19 on sovereign risk really indiscriminate?

Cevik, Serhan; Öztürkkal, Belma - 2020

This paper investigates the impact of infectious diseases on the evolution of sovereign credit default swap (CDS) spreads for a panel of 77 advanced and developing countries. Using annual data over the 2004-2020 period, we find that infectious-disease outbreaks have no discernible effect on CDS...

Persistent link: https://www.econbiz.de/10012392655

The information content of stress test announcements

Guerrieri, Luca; Modugno, Michele - 2021

Persistent link: https://www.econbiz.de/10012438012

Banking stress test effects on returns and risks

Sahin, Cenkhan; Haan, Jakob de; Neretina, Ekaterina - In: Journal of banking & finance 117 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012495750

Market reactions to the ECB's Comprehensive Assessment

Sahin, Cenkhan; Haan, Jakob de - In: Economics letters 140 (2016), pp. 1-5

Persistent link: https://www.econbiz.de/10011615673

The surface of implied firm's asset volatility

Lovreta, Lidija; Silaghi, Florina - In: Journal of banking & finance 112 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012225265

The role of redenomination risk in the price evolution of Italian banks' CDS spreads

Anelli, Michele; Patanè, Michele; Toscano, Mario; … - In: Journal of risk and financial management : JRFM 13 (2020) 7/150, pp. 1-17

The recent financial crisis offered an interesting opportunity to analyze the markets'; behavior in a high-volatility framework. In this paper, we analyzed the price discovery process of the Italian banks’ Credit Default Swap (CDS) spreads through the Merton model, extended with the inclusion...

Persistent link: https://www.econbiz.de/10012309329