Determinants of CDS in Core and Peripheral European Countries: A Comparative Study During Crisis and Calm Periods
S Haddou - The North American Journal of Economics and Finance, 2024 - Elsevier
The objective of this paper is twofold. First, it aims to investigate the nexus between
sovereign CDS spreads and its drivers, including behavioral drivers, during the different …
sovereign CDS spreads and its drivers, including behavioral drivers, during the different …
Price discovery in euro area sovereign credit markets and the ban on naked CDS
The sovereign debt crisis in the euro area saw credit spreads on sovereign bonds and credit
default swaps (CDS) surge for a number of member states. The rise in sovereign yields was …
default swaps (CDS) surge for a number of member states. The rise in sovereign yields was …
Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?
R Buse, M Schienle, J Urban - Journal of International Economics, 2022 - Elsevier
We study the impact of changes in regulations and policy interventions on systemic risk
among European sovereign entities measured as volatility spillovers in credit risk markets …
among European sovereign entities measured as volatility spillovers in credit risk markets …
Sovereign bond and CDS market contagion: A story from the Eurozone crisis
G Bampinas, T Panagiotidis, PN Politsidis - Journal of International Money …, 2023 - Elsevier
We examine the asymmetric and nonlinear nature of the cross-and intra-market linkages of
eleven EMU sovereign bond and CDS markets during 2006–2018. By adopting the excess …
eleven EMU sovereign bond and CDS markets during 2006–2018. By adopting the excess …
Short selling disclosure and its impact on CDS spreads
D Lleshaj, J Kocian - The European Journal of Finance, 2021 - Taylor & Francis
The European Union introduced Regulation 236/2012 in 2012 to address short selling and
certain aspects of credit default swaps (CDS). Consequently, a uniform short position …
certain aspects of credit default swaps (CDS). Consequently, a uniform short position …
Central clearing and CDS market quality
P Pereira da Silva, C Vieira… - Journal of Futures Markets, 2018 - Wiley Online Library
This paper contributes to the literature on the impact of central clearing on financial market
quality. Focusing on the CDS market, a difference‐in‐differences analysis is performed to …
quality. Focusing on the CDS market, a difference‐in‐differences analysis is performed to …
Why do investors buy sovereign default insurance?
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 …
default swaps (CDS) market, using weekly data for single-name sovereign CDS from …
Price Discovery in Euro Area Sovereign Credit Markets: Evidence from the GIIPS Countries 10 Years After the Implementation of the Ban on Naked Short Selling of …
S Häusler, K Ters - Finance in Crises: Financial Management Under …, 2024 - Springer
We analyze the price discovery process between credit spreads and credit default swaps
(CDS) of sovereign credit risk in GIIPS countries (Greece, Ireland, Italy, Portugal, and Spain) …
(CDS) of sovereign credit risk in GIIPS countries (Greece, Ireland, Italy, Portugal, and Spain) …
[PDF][PDF] Extracting Liquidity Risk Factors by Credit Default Swap Quotation and Corporate Bond Yield: An Experimental Investigation
CY Yeh, C Ren-Raw, BH Lin… - Tai Da Guan Li …, 2022 - review.management.ntu.edu.tw
This paper employs two kinds of data. One is Credit Default Swap (CDS) market quotations
in the United States; the other is the corporate bond yield data matched with related CDS …
in the United States; the other is the corporate bond yield data matched with related CDS …
Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis
R Buse, M Schienle, J Urban - 2019 - papers.ssrn.com
We study the impact of changes in regulations and policy interventions on systemic risk
among European sovereign entities measured as volatility spillovers in respective credit risk …
among European sovereign entities measured as volatility spillovers in respective credit risk …