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Choroś-Tomczyka, Barbara - 2017

Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters, with default intensities estimated from...

Persistent link: https://www.econbiz.de/10012966289

The impact of distressed economies on the EU sovereign market

Groba, Jonatan; Lafuente, Juan Angel; Serrano, Pedro - In: Journal of banking & finance 37 (2013) 7, pp. 2520-2532

Persistent link: https://www.econbiz.de/10009760595

The dynamics of sovereign credit default swaps and the evolution of the financial crisis in selected Central European economies

Kliber, Agata - In: Finance a úvěr 64 (2014) 4, pp. 330-350

Persistent link: https://www.econbiz.de/10010399918

Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries

Bouri, Elie; De Boyrie, Maria E.; Pavlova, Ivelina - In: International review of financial analysis 49 (2017), pp. 155-165

Persistent link: https://www.econbiz.de/10011741285

A dynamic spillover analysis of crude oil effects on the sovereign credit risk of exporting countries

Pavlova, Ivelina; De Boyrie, Maria E.; Parhizgari, Ali M. - In: The quarterly review of economics and finance : journal … 68 (2018), pp. 10-22

Persistent link: https://www.econbiz.de/10012034496

Markov switching volatility connectedness across international CDS markets

Mensi, Walid; Gemici, Eray; Polat, Müslüm; Kang, Sang Hoon - In: International review of economics & finance : IREF 98 (2025), pp. 1-17

Persistent link: https://www.econbiz.de/10015330587

Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries : a VAR quantile analysis

Massaporn Cheuathonghua; De Boyrie, Maria E.; Pavlova, … - In: International review of financial analysis 80 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013366188

Volatility spillovers among sovereign credit default swaps of emerging economies and their determinants

Aljarba, Shumok; Naifar, Nader; Almeshal, Khalid - In: Risks : open access journal 12 (2024) 4, pp. 1-17

This paper aims to investigate the volatility spillovers among selected emerging economies' sovereign credit default swaps (SCDSs), including those of Saudi Arabia, Russia, China, Indonesia, South Africa, Brazil, Mexico, and Turkey. Using data from January 2010 to July 2023, we apply the...

Persistent link: https://www.econbiz.de/10014636376

Cross-market risk spillovers among sovereign CDS, stock, foreign exchange and commodity markets : An interacting network perspective

Huang, Wei-Qiang; Liu, Peipei - In: International review of financial analysis 90 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014467568

An application of asymmetric GARCH models on volatility of banks equity in Nigeria's stock market

Asemota, Omorogbe J.; Ekejiuba, Ucheoma C. - In: CBN Journal of Applied Statistics 08 (2017) 1, pp. 73-99

This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find evidence of leverage effect. On evaluating the estimated...

Persistent link: https://www.econbiz.de/10011961657