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The effects of fiscal opacity on sovereign credit spreads

Peat, Maurice; Svec, Jiri; Wang, Jue - In: Emerging markets review 24 (2015), pp. 34-45

Persistent link: https://www.econbiz.de/10011538528

Augustin, Patrick; Subrahmanyam, Marti G.; Tang, Dragon … - In: Foundations and Trends(R) in Finance 9 (2014) 1-2, pp. 1-196

Credit default swaps (CDS) have been growing in importance in the global financial markets. However, their role has been hotly debated, in industry and academia, particularly since the credit crisis of 2007–2009. We review the extant literature on CDS that has accumulated over the past two...

Persistent link: https://www.econbiz.de/10011103415

Intraday dynamics of euro area sovereign CDS and bonds

Gyntelberg, Jacob; Hördahl, Peter; Ters, Kristyna; … - Bank for International Settlements (BIS) - 2013

The recent sovereign debt crisis in the euro area has seen credit spreads on sovereign bonds and credit default swaps (CDS) surge for a number of member states. While these events have increased interest in understanding the dynamics of sovereign spreads in bond and CDS markets, there is little...

Persistent link: https://www.econbiz.de/10010691938

Why do investors buy sovereign default insurance?

Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016

We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...

Persistent link: https://www.econbiz.de/10011541794

Dependence structures between sovereign credit default swaps and global risk factors in BRICS countries

Rikhotso, Prayer M.; Simo-Kengne, Beatrice D. - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-22

This study investigates the tail dependence structures of sovereign credit default swaps (CDSs) and three global risk factors in BRICS countries using a copula approach, which is popular for capturing the 'true' tail dependence based on the 'distribution-adjusted' joint marginals. The empirical...

Persistent link: https://www.econbiz.de/10013201412

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

Acharya, Viral V.; Gündüz, Yalin; 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....