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Credit derivatives and sovereign debt crises

Goderis, Benedikt (contributor); Wagner, Wolf (contributor) - 2005

Persistent link: https://www.econbiz.de/10003267414

Wu, Eliza; Erdem, Magdalena; Kalotychou, Elena; … - In: Journal of international money and finance 69 (2016), pp. 264-286

Persistent link: https://www.econbiz.de/10011712035

Were US Banks exposed to the Greek debt crisis? : evidence from Greek CDS spreads

Cornett, Marcia Millon; Erhemjamts, Otgontsetseg; … - In: Financial markets, institutions & instruments 25 (2016) 1, pp. 75-104

Persistent link: https://www.econbiz.de/10011449592

Conditional dependence of US and EU sovereign CDS : a time-varying copula-based estimation

Atil, Ahmed; Bradford, Marc; El Marzougui, Abdelaziz; … - In: Finance research letters 19 (2016), pp. 42-53

Persistent link: https://www.econbiz.de/10011657442

The impact of sovereign defaults on lending countries

Guo, Si; Pei, Yun - In: Review of quantitative finance and accounting 60 (2023) 1, pp. 345-374

Persistent link: https://www.econbiz.de/10013548981

Spillovers from one country's sovereign debt to CDS (credit default swap) spreads of others during the European crisis : a spatial approach

Kışla, Gül Huyugüzel; Muradoğlu, Gülnur; Özlem … - In: The journal of asset management : a major new, … 23 (2022) 4, pp. 277-296

Persistent link: https://www.econbiz.de/10013391984

Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018

Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....

Persistent link: https://www.econbiz.de/10011888333

Bank use of sovereign CDS in the Eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2021

Persistent link: https://www.econbiz.de/10012667120

Bank use of sovereign CDS in the Eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - In: Journal of financial intermediation 50 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013348118

Sovereign risk dynamics in the EU : the time varying relevance of fiscal and external (im)balances

Afonso, António; Alves, José; Monteiro, Sofia - In: Journal of international financial markets, … 94 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10015063189