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The information content of Hungarian sovereign CDS spreads [PDF]
, 2009 In our paper we present how the Hungarian credit default swap (CDS) market functions, and indicate its position in the global credit derivatives markets. Our primary goals are to glean some information from the CDS spreads about Hungary's credit risk, and to determine the role of the Hungarian sovereign CDS market in different market periods, as well ...
Varga, Lorant
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2012
In the course of the financial crisis and the subsequent Euro crisis it was revealed that government bonds are by no means riskless anymore. The costs to insure sovereign bonds (CDS spreads) have risen to unknown levels in some European countries; meanwhile affecting CDS spreads for companies too.
Bieber, David, Li, Steven
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In the course of the financial crisis and the subsequent Euro crisis it was revealed that government bonds are by no means riskless anymore. The costs to insure sovereign bonds (CDS spreads) have risen to unknown levels in some European countries; meanwhile affecting CDS spreads for companies too.
Bieber, David, Li, Steven
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Short-Term Drivers of Sovereign CDS Spreads [PDF]
, 2018 This chapter presents large-scale estimated models, one for each country, representing factors driving changes in credit default swap (CDS) spreads of 35 sovereigns. I estimate the models and test their robustness using data from July 2005 to July 2016.
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U.S. MONETARY POLICY AND SOVEREIGN CDS MARKETS
The Singapore Economic Review, 2023This paper analyzes the effects of U.S. monetary policy on sovereign credit default swap (CDS) markets in a total of 66 countries including both advanced and emerging market economies at the monthly time horizon from 2001 to 2016. We employ a four-variable vector autoregression (VAR) model to estimate the monetary policy shock and examine the pass ...
SHAOJIE LAI +3 more
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Trading Strategies in the Sovereign CDS Market
The Journal of Investing, 2013The sovereign credit default swap (CDS) market has gained considerable importance since the start of the sovereign debt crisis. The authors examine typical trading strategies using sov CDS, including 1) hedging risk in the sovereign cash bond market, 2) earning carry by selling sov CDS protection, and 3) relative value trading around the CDS on a cash ...
Pavan Wadhwa, Khagendra Gupta
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Variance decomposition of sovereign CDS spreads [PDF]
MNB Bulletin, 2011 In this paper we analyse the information content of correlations between daily changes in CDS spreads. Using factor analysis, we can break down the variance of CDS spreads into global, regional and country-specific components. Our results confirm the finding of other studies, namely that there is a strong global factor underlying credit risk spreads ...
Zalán Kocsis, Dénes Nagy
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Tail Dependence of Eurozone Sovereign CDS Spreads
SSRN Electronic Journal, 2018Using a flexible threshold copula model, we investigate the pairwise tail dependence of Eurozone sovereign credit default swap spreads during the period 2008-2013 and we detect clusters of credit default swaps with high tail dependence. Our approach is also useful to inspect the evolution of the loss distribution, as we prove by computing a theoretical
Veni Arakelian +2 more
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Functions and characteristics of corporate and sovereign CDS [PDF]
, 2013 After the onset of the subprime crisis and the European debt crisis, credit default swaps (CDS) have seen a strong increase in usage. Particularly sovereign CDS protection has been sought after, paralleling the rise in sovereign debt levels, slumps in GDP growth and political tensions in Eurozone peripheral countries.
Vogel, Heinz-Dieter +2 more
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Sovereign Risk and Bank-Specific CDS Pricing
SSRN Electronic Journal, 2012Employing time series of single-name CDS market spreads from 29 European banks located in the EU-12 plus Switzerland and the UK over the period from January 2004 through September 2010 this paper analyses the relationship between increasing sovereign risk and bank-specific CDS pricing.
Christian Meine +2 more
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The Term Structure of CDS Spreads and Sovereign Credit Risk
SSRN Electronic Journal, 2012Abstract The shape of the term structure of credit default swap spreads is an informative signal about the importance of global and domestic risk factors to the time variation of sovereign credit spreads. Exploiting cross-country heterogeneity among 44 countries, I document that the importance of global and country-specific risk in explaining ...
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