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Spillovers and contagion in the sovereign CDS market [PDF]
, 2013 This paper focuses on the relationship between sovereign credit default swaps (SCDS) referencing a group of selected developed and emerging economies during the recent sovereign debt crisis. Interdependence and contagion are found on the market dominated by a small number of big international participants.
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Sovereign Default and Bank CDS Payments in Europe
Revue d'économie politique, 2015Cet article analyse les effets redistributifs liés aux paiements de CDS en cas de défaut souverain en Europe. Un grand nombre de scénarios de défauts sont simulés en utilisant des données sur les portefeuilles d’obligations et de CDS des banques européennes, ainsi que le cadre théorique développé par Vuillemey et Peltonen [2013].
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The Determinants of the Sovereign CDS Volume
SSRN Electronic Journal, 2012Tobias Berg, Daniel Streitz
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Conditional sovereign CDS in market basket risk scenario: A dynamic vine-copula analysis
International Review of Financial Analysis, 2022Qunwei Wang, Ling Xiao, Matthew C Li
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Multi-scale interactions between Turkish lira exchange rates and sovereign CDS in Europe and Asia
Applied Economics Letters, 2021Xiaolei Sun, Jianping Li
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Relationship between sovereign CDS and banking sector CDS
2018Go Tamakoshi, Shigeyuki Hamori
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Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective
International Review of Financial Analysis, 2020Xiaolei Sun, Jianping Li
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Sovereign bond and CDS market contagion: A story from the Eurozone crisis
Journal of International Money and Finance, 2023Theodore Panagiotidis +1 more
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Time-frequency comovements between sovereign CDS and exchange rates: The role of sentiments
Global Finance Journal, 2023Xiaolei Sun
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