The term structure of sovereign credit default swap and the cross‐section of exchange rate predictability

2019 ◽  
Author(s):  
Giovanni Calice ◽  
Ming Zeng
Keyword(s):  
Exchange Rate ◽  
Term Structure ◽  
Cross Section ◽  
Credit Default Swap ◽  
Sovereign Credit ◽  
Credit Default ◽  
Default Swap ◽  
The Cross ◽  
Exchange Rate Predictability

Valuation of systematic risk in the cross-section of credit default swap spreads

2017 ◽  
Vol 64 ◽  
pp. 183-195 ◽  
Author(s):  
Arndt Claußen ◽  
Sebastian Löhr ◽  
Daniel Rösch ◽  
Harald Scheule
Keyword(s):  
Cross Section ◽  
Systematic Risk ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
The Cross ◽  
Swap Spreads

Implied Liquidity Risk in the Term Structure of Sovereign Credit Default Swap Spreads

2012 ◽  
Author(s):  
Saad Badaoui ◽  
Lara Cathcart ◽  
Lina El-Jahel
Keyword(s):  
Term Structure ◽  
Liquidity Risk ◽  
Credit Default Swap ◽  
Sovereign Credit ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

Valuation of Systematic Risk in the Cross-Section of Credit Default Swap Spreads

2013 ◽  
Author(s):  
Sebastian LLhr ◽  
Arndt Claussen ◽  
Daniel Roesch ◽  
Harald Scheule
Keyword(s):  
Cross Section ◽  
Systematic Risk ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
The Cross ◽  
Swap Spreads

Implied liquidity risk premium in the term structure of sovereign credit default swap and bond spreads

2015 ◽  
Vol 22 (10) ◽  
pp. 825-853 ◽  
Author(s):  
Saad Badaoui ◽  
Lara Cathcart ◽  
Lina El-Jahel
Keyword(s):  
Term Structure ◽  
Risk Premium ◽  
Liquidity Risk ◽  
Credit Default Swap ◽  
Sovereign Credit ◽  
Credit Default ◽  
Default Swap ◽  
Bond Spreads

The Cross-Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads

2010 ◽  
Author(s):  
Redouane Elkamhi ◽  
Kris Jacobs ◽  
Xuhui (Nick) Pan
Keyword(s):  
Cross Section ◽  
Credit Default Swap ◽  
Recovery Rates ◽  
Credit Default ◽  
Default Swap ◽  
The Cross ◽  
Swap Spreads

The signalling properties of the shape of the credit default swap term structure

2015 ◽  
Vol 17 (4) ◽  
pp. 71-99 ◽  
Author(s):  
Jenny Castellanos ◽  
Nick Constantinou ◽  
Wing Lon Ng
Keyword(s):  
Term Structure ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap

Determinants of the Size of the Sovereign Credit Default Swap Market

2015 ◽  
Vol 25 (3) ◽  
pp. 58-73 ◽  
Author(s):  
Tobias Berg ◽  
Daniel Streitz
Keyword(s):  
Credit Default Swap ◽  
Sovereign Credit ◽  
Credit Default ◽  
Default Swap
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