At the end of 2009, countries in the Eurozone began to experience a sudden divergence of bond yields as the perceived prospect of sovereign default risk increased. This paper examines the potential spillovers between the liquidity of the sovereign credit default swap (CDS) market and the...

At the end of 2009, countries in the Eurozone began to experience a sudden divergence of bond yields as the market perception of sovereign default risk increased. The theory of complete markets suggests that sovereign debt spreads and credit default swap (CDS) premia should track each other very...

In the wake of the financial crisis, policymakers expressed the concern that banks’ use of the incurred loss model exacerbates their lending procyclicality by delaying the recognition of loan losses to recessions. Responding to this concern, the FASB issued Accounting Standards Update 2016-13,...