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CDS spreads and contagion amongst systemically important financial institutions : a spatial econometric approach

Eder, Armin; Keiler, Sebastian - In: International journal of finance & economics : IJFE 20 (2015) 4, pp. 291-309

Persistent link: https://www.econbiz.de/10011495510

The conditional dependence structure of insurance sector credit default swap indices

Tamakoshi, Go; Hamori, Shigeyuki - In: The North American journal of economics and finance : a … 30 (2014), pp. 122-132

Persistent link: https://www.econbiz.de/10010463549

Credit Default Swap Clearinghouses and Systemic Risk : Why Centralized Counterparties Must Have Access to Central Bank Liquidity

Kress, Jeremy C. - 2011

-Frank negotiations, disturbed by the Federal Reserve's unprecedented market interventions, sought to revoke the central bank's authority … access to central bank credit is crucial, particularly when central clearing of volatile CDSs is required …

Persistent link: https://www.econbiz.de/10013133697

CDS Spreads and Systemic Risk - A Spatial Econometric Approach

Eder, Armin - 2013

and idiosyncratic risk premium. We identify considerable risk spill overs due to the interconnectedness of the financial …

Persistent link: https://www.econbiz.de/10013087836

CDS Spreads and Systemic Risk : A Spatial Econometric Approach

Keiler, Sebastian - 2016

and idiosyncratic risk premium. We identify considerable risk spill overs due to the interconnectedness of the financial …

Persistent link: https://www.econbiz.de/10012988801

Assessment of time-varying systemic risk in credit default swap indices : simultaneity and contagiousness

Choe, Geon Ho; Choi, So Eun; Jang, Hyun Jin - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012666122

How connected is the global sovereign credit risk network?

Bostanci, Gorkem; Yılmaz, Kamil - In: Journal of banking & finance 113 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012226141

CDS spreads in the aftermath of central clearing

Kaya, Orcun - In: International journal of financial markets and derivatives 6 (2017) 2, pp. 75-101

Persistent link: https://www.econbiz.de/10011862374

Effectiveness of policy and regulation in European sovereign credit risk markets : a network analysis

Buse, Rebekka; Schienle, Melanie; Urban, Jörg - 2019

We study the impact of changes in regulations and policy interventions on systemic risk among European sovereigns measured as volatility spillovers in respective credit risk markets. Our unique intraday CDS dataset allows for precise measurement of the effectiveness of these events in a network...

Persistent link: https://www.econbiz.de/10011958261

Effectiveness of policy and regulation in European sovereign credit risk markets : a network analysis

Buse, Rebekka; Schienle, Melanie; Urban, Jörg - 2019

Persistent link: https://www.econbiz.de/10011992508