African sovereign risk premia and international market assets: A relook under the COVID-19 outbreak [PDF]
HeliyonUsing the wavelet multiscale coherence technique, the paper examines the interdependences between global market assets, sovereign credit default swap (CDS) and yield-to-maturity on bond spread for African economies from January 2019 to March 2023.
Godfred Amewu +2 more
doaj +2 more sources
Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation [PDF]
Complexity, 2021 We assess the efficiency of the sovereign credit default swap (CDS) market by investigating how sovereign CDS spreads react to macroeconomic news announcements.
Min Lu, Michele Passariello, Xing Wang
doaj +4 more sources
Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work? [PDF]
Entropy, 2020 The purpose of the paper is to investigate the relationship between sovereign Credit Default Swap (CDS) and stock markets in nine emerging economies from Central and Eastern Europe (CEE), using daily data over the period January 2008−April 2018 ...
Sorin Gabriel Anton +1 more
doaj +2 more sources
Sovereign default network and currency risk premia [PDF]
Financial Innovation, 2023 We construct a sovereign default network by employing high-dimensional vector autoregressions obtained by analyzing connectedness in sovereign credit default swap markets.
Lu Yang, Lei Yang, Xue Cui
doaj +2 more sources
The Nexus between Sovereign CDS and Stock Market Volatility: New Evidence
Mathematics, 2021 This paper extends the studies published to date by performing an analysis of the causal relationships between sovereign CDS spreads and the estimated conditional volatility of stock indices.
Laura Ballester Miquel +1 more
exaly +3 more sources
Does BRRD mitigate the bank-to-sovereign risk channel? [PDF]
PLoS ONEWe investigate the effectiveness of the Bank Recovery and Resolution Directive (BRRD) in mitigating the transmission of credit risk from banks to their sovereign, using CDS spreads to capture bank and sovereign credit risk for a sample of 43 banks in 8 ...
Martien Lamers +3 more
doaj +2 more sources
The factors triggering the sovereign crisis and their impact on sovereign CDS spreads
المجلة الدولية للأداء الاقتصادي, 2020 This paper attempts to identify the factors behind the sovereign default risk, as measured by sovereign CDS spreads. By analyzing monthly data from January 2007 to September 2015 using instrumental variable approach, we find that European sovereign
Samah EL-CHEIKH , Rafik ALIOUAT
doaj +1 more source
Predictability of sovereign CDS: permutation entropy method
Procedia Computer Science, 2022 Xiaolei Sun, Jianping Li
exaly +3 more sources
Mutual Excitation in Eurozone Sovereign CDS [PDF]
SSRN Electronic Journal, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ait Sahlia Y. +2 more
openaire +5 more sources
Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model [PDF]
Applied Mathematical Finance, 2018 The European sovereign debt crisis, started in the second half of 2011, has posed the problem for asset managers, trades and risk managers to assess sovereign default risk.
Diop, Sidy +3 more
openaire +1 more source