Acknowledging the potential detrimental impact that twin-deficits may have on sovereign risk, this study uses a two-step approach to assess the impact of fiscal and external sustainability on sovereign risk dynamics for a panel of 27 European Economies between 2001Q4 and 2022Q3. To do so, we...

This study investigates the impact of terrorism on financial markets, focusing specifically on Turkey's sovereign Credit Default Swap (CDS) premiums from 2011 to 2017 - period characterized by frequent and diverse terrorist activities. Employing an EGARCH model with dummy variables for various...

We address the problem of regulating the size of banks' macroprudential capital buffers by using market-based estimates of systemic risk and by developing a modeling mechanism through which capital buffers can be allocated efficiently across systemic banks. First, a Distance-to-Default type...

This paper proposes the volatility of sovereign credit default swaps (CDS) as a measurement of economic uncertainty. Sovereign CDS provide protection against losses from sovereign defaults and are traded for almost all countries by the world’s largest financial institutions. The premium for...

The following paper addresses the question of whether the risk premium and the risk-free interest rate on the capital market tend to develop in the same or opposite direction or are to be understood as independent of each other. This fundamental consideration is not new, but has gained...

Can banks trade credit default swaps (CDSs) referenced on their current corporate clients at competitive prices, or are banks penalized for potentially holding private information? To answer this question we merge CDS trades reported under the European Market Infrastructure Regulation (EMIR)...

In this article, we test performance persistence and measure the historical, the implied volatility, the credit spread volatility and the value at risk,VaR, of the credit derivatives swaptions contracts. We examine contracts of US leveraged loans, mortgage backed securities, high grade corporate...

We introduce a novel model for pricing CDS tranches based on beta-distributed losses, offering a range of advantages over existing market standards, such as enhanced speed, heightened robustness, and a more intuitive interpretation of parameters. The proposed model significantly increases...