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Scientific Annals of Economics and Business, 2021 International investors wish to measure the sovereign risk premiums of the countries they want to invest in. Credit Default Swap Spread (CDS), which also shows the credit risks, is one of the important proxies that measure the country risk. Increased CDS
Sinan Aytekin, Nida Abdioglu
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Analysis of Lithuanian credit default swaps
Journal of Business Economics and Management, 2015 This paper studies international sovereign Credit Default Swaps (CDS) market focusing attention to the CDS of Central and East Europe. The main purpose of the study was to perform detail analysis of Lithuanian CDS in the global capital market.
Arvydas Kregzde, Gediminas Murauskas
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Sovereign and bank CDS spreads: Two sides of the same coin? [PDF]
Journal of International Financial Markets, Institutions and Money, 2014 This paper investigates the relationship between sovereign and bank CDS spreads with reference to their ability to convey timely signals on the default risk of European sovereign countries and their banking systems. By using a sample including six major European economies, we find that sovereign and bank CDS spreads are cointegrated variables at the ...
Davide Avino, John Cotter
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A Macrofinance View of U.S. Sovereign CDS Premiums [PDF]
The Journal of Finance, 2020 ABSTRACTPremiums on U.S. sovereign credit default swaps (CDS) have risen to persistently elevated levels since the financial crisis. We examine whether these premiums reflect the probability of a fiscal default—a state in which a balanced budget can no longer be restored by raising taxes or eroding the real value of debt by increasing inflation.
MIKHAIL CHERNOV +2 more
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The Assessment of Climate Risk Impact on the Economy: A Panel Data Approach [PDF]
Amfiteatru Economic, 2022 In this paper, we investigate how climate risk impacts the sovereign risk, the stock market evolution, and the degree of competitiveness, starting from the macroeconomic and financial effects globally produced by climate change. Using both quantile and
Teodora Cristina Barbu +3 more
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ANALISA SOVEREIGN RISK NEGARA BERKEMBANG: TEMUAN DARI PERILAKU PREMI CREDIT DEFAULT SWAP
Buletin Ekonomi Moneter dan Perbankan, 2011 Persepsi pelaku pasar asing terhadap perekonomian domestik dapat diukur melalui sovereign risk. Risiko ini merupakan hasil evaluasi/assestment lembaga rating mengenai probabilitas suatu entitas berdaulat (negara) akan melakukan wanprestasi terhadap ...
Moch. Doddy Ariefianto +1 more
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Properly pricing country risk: a model for pricing long-term fundamental risk applied to central and eastern European countries [PDF]
Financial Theory and Practice, 2010 The private sector has used proxies such as sovereign credit ratings, spreads on sovereign bonds and spreads on sovereign credit default swaps (CDS) to gauge country risk, even though these measures are pricing the risk of default of government bonds ...
Debora Revoltella +2 more
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Systemic Risk in the European Union: A Network Approach to Banks’ Sovereign Debt Exposures
International Journal of Financial Studies, 2015 This paper draws on network theory to investigate European banks’ sovereign debt exposures. Banks’ holdings of sovereign debt build a network of financial linkages with European countries that exhibits a long-tail distribution of node degrees.
Annika Westphal
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FORECASTING SOVEREIGN CDS PRICES
, 2021 JEL classification: G12; G13.Akey question in forecasting term structures of interest rates and credit spreads is the need and merit of using pricing models that impose absence of arbitrage across di erent maturities.
Upreti, V, Realdon, M, Miftah, B
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Analysing sovereign credit default swaps of Baltic countries
Business: Theory and Practice, 2015 The paper analyses development of the Baltic sovereign CDS market. The level of commonalities and differences in credit risk of the Baltic countries with regard to CDS spreads is investigated.
Arvydas Kregzde, Gediminas Murauskas
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