Results 11 to 20 of about 180,724 (288)
Dealing with Dealers: Sovereign CDS Comovements [PDF]
SSRN Electronic Journal, 2017 Abstract We show that sovereign CDS that have common dealers tend to be more correlated, especially when the dealers display similar quoting activity in those contracts over time. This commonality in dealers’ activity is a powerful driver of CDS return comovements, over and above fundamental similarities between countries, including default ...
Miguel Antón +2 more
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SDÜ Vizyoner Dergisi, 2020 In this study global and national variables that affect the sovereign Credit Default Swaps (CDS) spreads for Turkey are examined. The study utilises monthly time-series data, spanning from August of 2009 to September 2018.
Çiğdem Kurt Cihangir
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Frontiers in Applied Mathematics and Statistics, 2016 We propose a multi-factor Gaussian model to analyze the dynamicsof sovereign bond yields, as well as sovereign and banks CDS quotes. This paperhas three objectives (all of them with relevant implications from a supervisoryperspective): (1) disentangling ...
Michele Leonardo Bianchi, Marco Rocco
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Mathematics, 2020 This study complements the current literature, providing a thorough investigation of the lead–lag connection between stock indices and sovereign credit default swap (CDS) returns for 14 European countries and the US over the period 2004–2016.
Laura Ballester, Ana González-Urteaga
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Under-reaction in the Sovereign CDS Market
SSRN Electronic Journal, 2019 The sovereign CDS market has developed rapidly for two decades and currently has a gross notional amount of more than a trillion dollars. We document a strong momentum effect in this market, which cannot be explained by a large set of risk factors. These momentum returns are positively skewed and higher during recessions.
Xiao, Yaqing +2 more
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Revista de Métodos Cuantitativos para la Economía y la Empresa, 2020 This article presents an analysis of the possible relationship between the spreads of sovereign bonds and the premia of credit default swaps (CDS) to determine whether they are useful tools for the measurement of the sovereign risk either separately or ...
Téllez Valle, Cecilia +3 more
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Liquidity Spillovers in Sovereign Bond and CDs Markets: An Analysis of the Eurozone Sovereign Debt Crisis [PDF]
SSRN Electronic Journal, 2011 At the end of 2009, countries in the Eurozone began to experience a sudden divergence of bond yields as the perceived prospect of sovereign default risk increased. This paper examines the potential spillovers between the liquidity of the sovereign credit default swap (CDS) market and the liquidity of the sovereign bond market for a group of Eurozone ...
Calice, Giovanni +2 more
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Time-varying Co-movements and Contagion Effects in Asian Sovereign CDS Markets
East Asian Economic Review, 2015 We investigate interconnectedness and the contagion effect of default risk in Asian sovereign CDS markets since the global financial crisis. Using dynamic conditional correlation analysis, we find that there are significant co-movements in Asian ...
Daehyoung Cho , Kyongwook Choi
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Causality between sovereign, quasi-sovereign credit risks and global volatility: The case of Russia
Journal of Eurasian Studies, 2016 The article examines causalities between sovereign, most important quasi-sovereign CDS prices (Gazprom, VTB, Sberbank) for Russia and the global volatility factor embedded in the VIX index dynamics.
Mikhail Stolbov
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Exchange-traded funds of the eurozone sovereign debt [PDF]
Ekonomski Anali, 2010 Periods of high uncertainty bring liquidity concerns to the forefront for sovereign bond investors. Arguably the most liquid and cost-effective way for retail and small institutional investors to gain diversified sovereign bond exposure is through an ...
Drenovak Mikica, Urošević Branko
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