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Persistence of volatility of sovereign credit risk in presence of structural breaks
Ngene, Geoffrey; Carley, Hannah; Hassan, Mohammad Kabir - In: Journal of derivatives & hedge funds 20 (2014) 1, pp. 10-27
Persistent link: https://www.econbiz.de/10010463011
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Sovereign credit default swap premia
Augustin, Patrick - In: Journal of investment management : JOIM 12 (2014) 2, pp. 65-102
Persistent link: https://www.econbiz.de/10010388906
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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
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Do credit rating agencies provide valuable information in market evaluation of sovereign default risk?
Binici, Mahir; Hutchison, Michael M. - In: Journal of international money and finance 85 (2018), pp. 58-75
Persistent link: https://www.econbiz.de/10012000388
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Are credit rating agencies discredited? : measuring market price effects from agency sovereign debt announcements
Binici, Mahir; Hutchison, Michael M.; Miao, Evan Weicheng - 2018
Persistent link: https://www.econbiz.de/10011866756
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European Sovereign CDS Premia during the Crisis – A Cointegration Analysis
Schmidt, Alexander - 2013
In this paper, I use multivariate time series models in order to analyze the evolution of European Sovereign CDS spreads during the recent crisis. I find evidence that sovereigns' credit risk premia are non-stationary but cointegrated with simple measures of the countries' indebtedness and the...
Persistent link: https://www.econbiz.de/10013078906
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Impacts of the Financial Crisis on Eurozone Sovereign CDS Spreads
Gündüz, Yalin; Kaya, Orcun - 2016
We study the variation of sovereign credit default swaps (CDSs) of eurozone countries, their persistence and co … model, we test the evidence of long memory for CDSs of ten eurozone countries. Our analysis reveals that price discovery …
Persistent link: https://www.econbiz.de/10014158964
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Pricing Sovereign Credit Risk of an Emerging Market
Camba-Mendez, Gonzalo - 2015
We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts....
Persistent link: https://www.econbiz.de/10013017360
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Pricing Sovereign Credit Risk of an Emerging Market
Camba-Mendez, Gonzalo - 2016
We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts....
Persistent link: https://www.econbiz.de/10012987488
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Pricing Sovereign Credit Risk of an Emerging Market
Camba-Mendez, Gonzalo - 2016
We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts....
Persistent link: https://www.econbiz.de/10012987870