. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes, with exogenous common … factors. We account for interdependencies between sovereign and bank CDS spreads and we derive generalised impulse response … transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four …

Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk … trading. The first-ever credit event in a developed country's sovereign CDS has further highlighted the importance of the CDS … market from a macro-prudential perspective. Developments in the European sovereign CDS market are a part of the major …

CDS spreads and facilitates cross-border financial-crisis spillovers. Risks spill over from risky periphery sovereigns to …

. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes, with exogenous common … factors. We account for interdependencies between sovereign and bank CDS spreads and we derive generalised impulse response … transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four …

selected corporations belonged to the EuroStoxx 50 Index and whose CDS (Credit Default Swap) may be found in the iTraxx Europe …) show that the impact on the credit risk of the companies, as measured by the change in the spread of CDS, is important and …

credit default swaps (CDS) to determine whether they are useful tools for the measurement of the sovereign risk either … 2008-2016. By applying the causality Granger test for these variables, after six different ways of proxy, CDS premia are … other cases. So the CDS market contains clear and highly useful information on the sovereign risk. …

In this paper we show that informational and real frictions in CDS markets strongly affect CDS premia. We derive this … main finding using a proprietary set of individual CDS transactions cleared by the Depository Trust & Clearing Corporation …. We first show that CDS traders adjust the CDS premium in response to the observed order flow. Buy orders lead to an …

We empirically assess the interlinkages between sovereign risk, measured in terms of CDS spreads, and exchange rates …