Takeyama, Azusa; Constantinou, Nick; Vinogradov, Dmitri - Institute for Monetary and Economic Studies, Bank of Japan - 2012
This paper investigates how the market valuation of credit risk changed during 2008-2009 via a separation of the … their credit risk due to the government interventions. Since CDS spreads are not appropriate to analyze the impact of the … government interventions on credit risk and the cross sectional movement of credit risk, we investigate how the government …