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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
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Greek sovereign debt : addressing economic distress and growth in the Euro Area
Alexakis, Panayiotis; Hardouvelis, Gikas A.; Paxson, Dean A. - In: Multinational finance journal 22 (2018) 1/2, pp. 1-33
Persistent link: https://www.econbiz.de/10012547582
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Is small beautiful? : the resilience of small banks during the European debt crisis
Liu, Cai; Varotto, Simone - In: International review of financial analysis 76 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012805039
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Sovereign bond holdings and monetary policy operations in the euro area
Arnold, Ivo J. M.; Soederhuizen, Beau - In: Journal of policy modeling : JPMOD ; a social science … 40 (2018) 6, pp. 1243-1254
Persistent link: https://www.econbiz.de/10012054919
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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
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Greek retrofit and borrowing costs in the european periphery
Bolton, Patrick; Gulati, Mitu; Fu, Xuewen; Panizza, Ugo - 2023
Persistent link: https://www.econbiz.de/10014335015
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The sovereign rating channel in the European debt crisis : spillover effects on sovereign CDS and other systemic risk indicators
Georgoutsos, Demetris A.; Moratis, George - 2024
Persistent link: https://www.econbiz.de/10015047370
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Transmission of the Greek crisis on the sovereign debt markets in the euro area
Kchaou, Oussama; Bellalah, Makram; Tahi, Sofiane - In: Risk management decisions and value under uncertainty, (pp. 1117-1139). 2022
Persistent link: https://www.econbiz.de/10013342091
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Impacts of the Financial Crisis on Eurozone Sovereign CDS Spreads
Gündüz, Yalın; Kaya, Orcun - 2016
We study the variation of sovereign credit default swaps (CDSs) of eurozone countries, their persistence and co … model, we test the evidence of long memory for CDSs of ten eurozone countries. Our analysis reveals that price discovery …
Persistent link: https://www.econbiz.de/10014158964
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Measuring connectedness of Euro area sovereign risk
Buse, Rebekka; Schienle, Melanie - 2015
We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...
Persistent link: https://www.econbiz.de/10010503874