relationship between the TED and CDS spreads which measure credit risk in an economy. This paper contributes to the literature on … market and the derivatives market during 2004-2009. The authors use the TED spread to measure credit risk in the money market … and CDS index spread for the derivatives market. Design/methodology/approach - The dependence structure is measured by a …

yields, VIX and TED spreads, are important determinants for future sovereign CDS price movements. The findings provide … America sovereign credit default swap (CDS) returns and other financial sovereign debt spread determinants. The empirical … results indicate that information in sovereign CDS can both lead and lag these financial determinants. Specifically, country …

equity return dependence dynamics. Modeling a decade of weekly CDS spreads for 215 firms, we find that copula correlations … high since. Perhaps most importantly, tail dependence of CDS spreads increase even more than copula correlations during the …We characterize diversification in corporate credit using a new class of dynamic copula models which can capture …

. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes, with exogenous common … factors. We account for interdependencies between sovereign and bank CDS spreads and we derive generalised impulse response … transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four …