This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and … trigger rises in bond spreads, and the relative efficiency of credit risk pricing in the CDS and bond markets. In addition, we … in price discovery, incorporating the new information about sovereign credit risk faster and more efficiently than the …

risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond … investors change their perception of risk factors, which results in higher risk factor correlation and finally higher bond …

We examine the effect of credit default swap (CDS) coverage on voluntary disclosure using firm provided non …

This study investigates the tail dependence structures of sovereign credit default swaps (CDSs) and three global risk … “distribution-adjusted” joint marginals. The empirical results show that global market risk sentiment comoves with sovereign CDS … second biggest risk factor correlated with CDS spreads for Brazil and South Africa, while exchange rate risk exhibits very …