Search Results - subject:"Credit Default Swap Spreads"

Carbon default swap : disentangling the exposure to carbon risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2023

Persistent link: https://www.econbiz.de/10013502606

Carbon Default Swap - Disentangling the Exposure to Carbon Risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that …

Persistent link: https://www.econbiz.de/10013470275

Carbon default swap : disentangling the exposure to carbon risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that …

Persistent link: https://www.econbiz.de/10013417581

Central bank gold reserves and sovereign credit risk

Rathi, Sawan; Mohapatra, Sanket; Sahay, Arvind - 2021

Persistent link: https://www.econbiz.de/10012793392

Persistence of bank credit default swap spreads

Huang, Xin - In: Risks 7 (2019) 3, pp. 1-13

Credit default swap (CDS) spreads measure the default risk of the reference entity and have been frequently used in recent empirical papers. To provide a rigorous econometrics foundation for empirical CDS analysis, this paper applies the augmented Dickey-Fuller, Phillips-Perron,...

Persistent link: https://www.econbiz.de/10013200508

Persistence of bank credit default swap spreads

Huang, Xin - In: Risks : open access journal 7 (2019) 3/90, pp. 1-13

Persistent link: https://www.econbiz.de/10012126480

Does Central Bank Quality Determine Sovereign Ratings and Credit Default Swap Spreads: Evidence from the World?

Ramlall, Indranarain - In: Journal of Central Banking Theory and Practice 5 (2016) 3, pp. 5-29

This study innovates from prior research which focuses on the determinants of sovereign ratings and credit default swap … spreads for a large sample of countries by incorporating the quality of central banks, let alone refined proxies. Findings …

Persistent link: https://www.econbiz.de/10012217834

Credit Default Swap (CDS) Spreads: The Analysis of Time Series for The Integration with The Interest Rates and The Growth in Turkish Economy

Kargi, Bilal - In: Montenegrin Journal of Economics 10 (2014) 1, pp. 59-66

default swap spreads have become a kind of reliability index. Moreover, they have become an information source about the … investment feasibility related to economy are based on the information that was supplied by these spreads. Therefore, the credit …

Persistent link: https://www.econbiz.de/10010377166

Sovereign and bank CDS spreads: two sides of the same coin?

Avino, Davide; Cotter, John - Volkswirtschaftliche Fakultät, … - 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 of six major European economies, we find that sovereign and...

Persistent link: https://www.econbiz.de/10011107398

Credit Default Swap (CDS) Spreads: The Analysis of Time Series for The Integration with The Interest Rates and The Growth in Turkish Economy

KARGI, Bilal - Volkswirtschaftliche Fakultät, … - 2014

Persistent link: https://www.econbiz.de/10011109187