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The correlation of a firm's credit spread with its stock price : evidence from credit default swaps
Scheicher, Martin - In: Stock market volatility, (pp. 405-417). 2009
Persistent link: https://www.econbiz.de/10003830647
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An analysis of euro area sovereign CDS and their relation with government bonds
Fontana, Alessandro; Scheicher, Martin - 2010
This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare the determinants of CDS spreads and bond spreads and...
Persistent link: https://www.econbiz.de/10011605317
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An Analysis of Euro Area Sovereign CDS and Their Relation with Government Bonds
Fontana, Alessandro - 2010
This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare the determinants of CDS spreads and bond spreads and...
Persistent link: https://www.econbiz.de/10013135678
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An analysis of euro area sovereign CDS and their relation with government bonds
Fontana, Alessandro; Scheicher, Martin - 2010
This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare the determinants of CDS spreads and bond spreads and...
Persistent link: https://www.econbiz.de/10008746582
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The network structure of the CDS market and its determinants
Peltonen, Tuomo; Scheicher, Martin; Vuillemey, Guillaume - In: Journal of financial stability 13 (2014), pp. 118-133
Persistent link: https://www.econbiz.de/10011288870
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Are banks different? : evidence form the CDS market
Raunig, Burkhard; Scheicher, Martin - 2009
Persistent link: https://www.econbiz.de/10003810904
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An analysis of euro area sovereign CDS and their relation with government bonds
Fontana, Alessandro; Scheicher, Martin - In: Journal of banking & finance 62 (2016), pp. 126-140
Persistent link: https://www.econbiz.de/10011634088
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How does risk flow in the credit default swap market?
D'Errico, Marco; Battiston, Stefano; Peltonen, Tuomo; … - In: Journal of financial stability 35 (2018), pp. 53-74
Persistent link: https://www.econbiz.de/10012156839
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How did the Greek credit event impact the credit default swap market?
Hałaj, Grzegorz; Peltonen, Tuomo; Scheicher, Martin - In: Journal of financial stability 35 (2018), pp. 136-158
Persistent link: https://www.econbiz.de/10012156855