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Della Corte, Pasquale; Sarno, Lucio; Schmeling, Maik; … - In: Management science : journal of the Institute for … 68 (2022) 8, pp. 5591-5617

Persistent link: https://www.econbiz.de/10013370992

Assessing the predictive ability of sovereign default risk on exchange rate returns

Foroni, Claudia; Ravazzolo, Francesco; Sadaba, Barbara - In: Journal of international money and finance 81 (2018), pp. 242-264

Persistent link: https://www.econbiz.de/10012000048

The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?

Li, Leon; Scrimgeour, Frank - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 475-497

Persistent link: https://www.econbiz.de/10013334844

Measuring stock market contagion : local or common currency returns?

Mink, Mark - In: Emerging markets review 22 (2015), pp. 18-24

Persistent link: https://www.econbiz.de/10011304204

Länderrisikoanalyse im Rahmen moderner Kreditrisikomodelle bei Banken : eine Untersuchung mit besonderem Schwerpunkt auf Marktpreisinformationen von Emerging Markets

Wadé, Markus - 2003 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001724876

Sovereign Risk and Bank-Specific CDS Pricing

Meine, Christian - 2015

Employing time series of single-name CDS market spreads from 29 European banks located in the EU-12 plus Switzerland and the UK over the period from January 2004 through September 2010 this paper analyses the relationship between increasing sovereign risk and bank-specific CDS pricing. Results...

Persistent link: https://www.econbiz.de/10013036499

Property rights and CDS spreads : when is there a strong transfer risk from the sovereigns to the corporates?

Baines, Sarah Jane; Wei, Shang-jin - In: The quarterly journal of finance 7 (2017) 4, pp. 1-36

Persistent link: https://www.econbiz.de/10011774182

Credit risk signals in CDS market vs agency ratings

Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K.; Layish, … - In: Journal of risk finance : the convergence of financial … 17 (2016) 2, pp. 194-217

Persistent link: https://www.econbiz.de/10011628302

Sovereign risk spillovers : a network approach

Le, Chau; Dickinson, David G.; Le Hoang Anh - In: Journal of financial stability 60 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013455968

Sovereign default network and currency risk premia

Yang, Lu; Yang, Lei; Cui, Xue - In: Financial innovation : FIN 9 (2023) 1, pp. 1-22

strategy. Our proposed strategy is robust to foreign exchange regimes and the coronavirus disease 2019 pandemic. …

Persistent link: https://www.econbiz.de/10014289115