The European Sovereign Debt Crisis and the Role of Credit Swaps

2015 ◽  
pp. 605-639 ◽  
Author(s):  
Eleftherios I. Thalassinos ◽  
Theodoros Stamatopoulos ◽  
Pantelis E. Thalassinos
Keyword(s):  
Sovereign Debt ◽  
Debt Crisis ◽  
Sovereign Debt Crisis ◽  
European Sovereign Debt Crisis

Credit Default Swaps: A Primer and Some Recent Trends

2020 ◽  
Vol 12 (1) ◽  
pp. 177-192
Author(s):  
David Lando
Keyword(s):  
Sovereign Debt ◽  
Debt Crisis ◽  
Credit Default Swap ◽  
Sovereign Debt Crisis ◽  
European Sovereign Debt Crisis ◽  
Credit Default ◽  
Recent Trends ◽  
Default Swap ◽  
Trading Volumes

The credit default swap (CDS) remains an important class of derivatives contract despite the declining activity in the single-name corporate market. I provide a quick introduction to the contracts, the pricing formula used to interpret the market premiums, the development in trading volumes, and some key insights that are important for understanding its role in markets. I then take a closer look at the CDS-bond basis and the role of trading and regulatory frictions. Finally, the European sovereign debt crisis brought back in focus the notion of a quanto spread, which I explain.

scholarly journals The Impact of the Introduction of Uniform European Collective Action Clauses on European Government Bonds as a Regulatory Result of the European Sovereign Debt Crisis

2020 ◽  
Vol 14 (1) ◽  
pp. 1
Author(s):  
Nicoletta Layher ◽  
Eyden Samunderu
Keyword(s):  
European Union ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Sovereign Debt Crisis ◽  
The European Union ◽  
Bond Yields ◽  
Member States ◽  
Sovereign Bond ◽  
European Sovereign Debt Crisis ◽  
Collective Action Clauses

This paper conducts an empirical study on the inclusion of uniform European Collective Action Clauses (CACs) in sovereign bond contracts issued from member states of the European Union, introduced as a regulatory result of the European sovereign debt crisis. The study focuses on the reaction of sovereign bond yields from European Union member states with the inclusion of the new regulation in the European Union. A two-stage least squares regression analysis is adopted in order to determine the extent of impact effects of CACs on member states sovereign bond yields. Evidence is found that CACs in the European Union are priced on financial markets and that sovereign bond yields do respond to the inclusion of uniform CACs in the European Union.

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