The aim of this paper is to use copulas functions to capture the different structures of dependency when we deal with portfolios of dependent credit risks and a basket of credit derivatives. We first present the wellknown result for the pricing of default risk, when there is only one defaultable...

The aim of this paper is to study the impact of Stock returns volatility of reference entities on credit default swap rates using a new dataset from the Japanese market. The majority of empirical research suggests the inadequacy of multinormal distribution and then the failure of methods based...

This paper aimed to investigate the drivers of sovereign credit risk spreads changes in the case of four Gulf Cooperation Council (GCC) countries, namely Kingdom of Saudi Arabia (KSA), the United Arab Emirates (UAE), Qatar, and Bahrain. Specifically, we explained the changes in sovereign credit...

the aim of this paper is to explain the effect of "Subrime" crisis on credit default swap markets. After the problems of CDO's insttruments, protection buyers use classical credit derivatives instruments such CDS contracts.

The recent Saudi Arabia's 'Vision 2030' including the National Transformation Plan has renewed the debate on the efficiency of government spending. The aim of this paper was twofold. First, to measure the relative efficiency of Saudi Arabia's public spending over the period 1988-2013 using...

This paper aimed to investigate the drivers of sovereign credit risk spreads changes in the case of four Gulf Cooperation Council (GCC) countries, namely Kingdom of Saudi Arabia (KSA), the United Arab Emirates (UAE), Qatar, and Bahrain. Specifically, we explained the changes in sovereign credit...

This paper investigates the impact of the Subprime crisis on the Credit Default Swap (CDS) market. The Subprime crisis presents a serious risk to global financial markets. The Japanese credit markets faces growing bank losses and a cruel market environment accompanied by a slowing economy and...

the aim of this paper is to explain the effect of "Subrime" crisis on credit default swap markets. After the problems of CDO's insttruments, protection buyers use classical credit derivatives instruments such CDS contracts.