Showing 1 - 10 of 18
We study the links between sovereign credit risk and the currency forward bias. In a setting of defaultable sovereign bonds, we show that the forward bias can be negatively linked to sovereign credit risk. We confirm empirically that the forward bias is negatively associated to sovereign CDS...
Persistent link: https://www.econbiz.de/10014238661
We study the links between sovereign credit risk and the currency forward bias. In a setting of defaultable sovereign bonds, we show that the forward bias can be linked negatively to sovereign credit risk. We confirm empirically that the forward bias is negatively associated to sovereign CDS...
Persistent link: https://www.econbiz.de/10013289311
Persistent link: https://www.econbiz.de/10009309048
This paper explores the extent to which term structure of individual CDS spreads can be explained by the firm's rating. Using the Nelson-Siegel model, we construct, for each day, CDS curves from a cross-section of CDS spreads for each rating class. We find that individual CDS deviations from the...
Persistent link: https://www.econbiz.de/10012902541
Persistent link: https://www.econbiz.de/10013533411
Persistent link: https://www.econbiz.de/10012207024
This paper addresses the impact of developments in the credit risk transfer market on the viability of a group of systemically important financial institutions. We propose a bank default risk model, in the vein of the classic Merton-type, which utilizes a multi-equation framework to model...
Persistent link: https://www.econbiz.de/10013133230
This paper addresses the impact of developments in the credit risk transfer market on the viability of a group of systemically important financial institutions. We propose a bank default risk model, in the vein of the classic Merton-type, which utilizes a multi-equation framework to model...
Persistent link: https://www.econbiz.de/10013148992
This paper addresses the impact of developments in the credit risk transfer market on the viability of a group of systemically important financial institutions. We propose a bank default risk model, in the vein of the classic Merton-type, which utilizes a multi-equation framework to model...
Persistent link: https://www.econbiz.de/10013157119
This paper addresses the impact of developments in the credit risk transfer market on the viability of a group of systemically important financial institutions. We propose a bank default risk model, in the vein of the classic Merton-type, which utilizes a multi-equation framework to model...
Persistent link: https://www.econbiz.de/10013092380