We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our identification strategy exploits the exogenous exit of a large dealer from the single-name CDS market as well as granular data on CDS transactions and bond portfolio holdings of German...

We represent the market for syndicated loans as a dynamic financial network and find that financial institutions have developed strong cross-border linkages over the 2000–2019 period. The most-connected financial institutions hold large shares of leveraged and covenant-lite loans. Our analysis...

Credit Default Swap (CDS) spread is a realistic measure of credit risk. Changes in the spreads showcase changes in the underlying uncertainty or credit volatility regarding the credit risk, associated with the asset class. We use Multifractal Detrended Fluctuation Analysis (MF-DFA) to further...

In the credit default swap (CDS) market, Japan’s major companies are regarded on average as having weak pathways leading from their stakeholder relationships to reducing their default risks. This assertion is based on panel data analyses to investigate the determinants of companies’ CDS...

We study the links between sovereign credit risk and the currency forward bias. In a setting of defaultable sovereign bonds, we show that the forward bias can be negatively linked to sovereign credit risk. We confirm empirically that the forward bias is negatively associated to sovereign CDS...