Repo markets clear either bilaterally over the counter (OTC) or through central counter-parties (CCPs), which differ in how counterparty risk is priced. In bilateral markets, repo rates reflect borrower-specific risk, while CCP clearing pools counterparties and applies a common pricing rule. We...

The relationship between Credit Default Swaps (CDS) and cash bonds plays a pivotal role in providing market participants with important information which directly affects investment and risk management strategies. Particularly relevant is the CDS-Bond basis, defined as the difference in basis...

Modern financial systems do not exist in isolation but form part of a complex global network of interconnected financial systems. This globalization of financial systems significantly increases the risk of contagion in financial markets, impacting asset prices and other important economic...

This paper explores the impact of biodiversity risk on banks' credit risk using a news-based biodiversity index and CDS of 39 global banks between 2015 and 2023. Using a linear OLS regression, this paper finds evidence for a significant positive relationship between biodiversity news and CDS...

This paper employs predictive regressions to explore the predictability of sovereign Credit Default Swap (CDS) spread dynamics of relevant oil-producing countries. By incorporating oil prices and additional control variables, we predict the rate of CDS spread changes for Brazil, the UK,...