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Credit default swaps: A survey
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 …
markets. However, their role has been hotly debated, in industry and academia, particularly …
The empirical analysis of liquidity
We provide a synthesis of the empirical evidence on market liquidity. The liquidity
measurement literature has established standard measures of liquidity that apply to broad …
measurement literature has established standard measures of liquidity that apply to broad …
Safe haven CDS premiums
Credit default swaps can be used to lower the capital requirements of dealer banks entering
into uncollateralized derivatives positions with sovereigns. We show in a model that the …
into uncollateralized derivatives positions with sovereigns. We show in a model that the …
CDS and equity markets' volatility linkages: lessons from the EMU crisis
We investigate the means and volatility feedback loop hypotheses in terms of the
informational flow among credit distress conditions, equity market expectations and investor …
informational flow among credit distress conditions, equity market expectations and investor …
Currency redenomination risk
A eurozone exit or breakup exposes bondholders to currency redenomination risk. I quantify
redenomination risk since the sovereign debt crisis: It contributes substantially to credit …
redenomination risk since the sovereign debt crisis: It contributes substantially to credit …
Liquidity pressure and the sovereign-bank diabolic loop
We study the sovereign-bank nexus through the liquidity channel. Using a sample of 22
European economies during 2012–2021, we find that an increase in banking liquidity …
European economies during 2012–2021, we find that an increase in banking liquidity …
How sovereign is sovereign credit risk? Global prices, local quantities
Price fluctuations of sovereign default insurance are dominated by common risks. In
contrast, fluctuations in their quantities are primarily explained by country-specific factors …
contrast, fluctuations in their quantities are primarily explained by country-specific factors …
[PDF][PDF] The EU ban on uncovered sovereign credit default swaps: Assessing impacts on liquidity, volatility, and price discovery
This article addresses the effects of the prohibition against naked CDS buying implemented
by the European Union in November 2012. Three aspects of market quality are analyzed …
by the European Union in November 2012. Three aspects of market quality are analyzed …
Sovereign bond and CDS market contagion: A story from the Eurozone crisis
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 …
A multilevel factor approach for the analysis of CDS commonality and risk contribution
We introduce a novel multilevel factor model that allows for the presence of global and
pervasive factors, local factors and semi-pervasive factors, and that captures common …
pervasive factors, local factors and semi-pervasive factors, and that captures common …