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Aggregate accounting data and the prediction of credit risk

Kousenidis, Dimitrios V.; Ladas, Anestis C.; Negkakis, … - In: The international journal of accounting : TIJA 54 (2019) 1, pp. 1950001-1-1950001-30

Persistent link: https://www.econbiz.de/10012108627

Intraday dynamics of credit risk contagion before and during the euro area sovereign debt crisis : evidence from central Europe

Ters, Kristyna; Urban, Jörg - In: International review of economics & finance : IREF 54 (2018), pp. 123-142

Persistent link: https://www.econbiz.de/10012033352

Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018

Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....

Persistent link: https://www.econbiz.de/10011888333

The walking debt crisis

Wegener, Christoph; Kruse, Robinson; Basse, Tobias - In: Journal of economic behavior & organization : JEBO 157 (2019), pp. 382-402

Persistent link: https://www.econbiz.de/10012138503

Contagion and divergence on sovereign bond markets

Jaworski, Piotr; Liberadzki, Kamil; Liberadzki, Marcin - In: Copernican Journal of Finance & Accounting : CJF&A 6 (2017) 4, pp. 39-68

Persistent link: https://www.econbiz.de/10012215776

News-based indices on country fundamentals : do they help explain sovereign credit spread fluctuations?

Fulop, Andras; Kocsis, Zalán - 2018

This paper revisits the discussion about the role that fundamentals play in asset prices using sovereign credit spread data. We augment the standard macroeconomic proxy set by text-based measures of country and global fundamentals from a database of Reuters news articles between 2007 and 2016....

Persistent link: https://www.econbiz.de/10011798857