Sovereign Credit Default Swaps, Sovereign Debt and Volatility Transmission Across Emerging Markets

2007 ◽  
Author(s):  
Byoung Uk Kang ◽  
Francis Haeuck In ◽  
Tong Suk Kim
Keyword(s):  
Emerging Markets ◽  
Sovereign Debt ◽  
Credit Default Swaps ◽  
Volatility Transmission ◽  
Sovereign Credit ◽  
Credit Default

The Impact of Central Clearing on the Pricing of Sovereign Credit Default Swaps

2019 ◽  
Author(s):  
Josephine Molleyres ◽  
Heinz Zimmermann
Keyword(s):  
Credit Default Swaps ◽  
Sovereign Credit ◽  
Credit Default ◽  
The Impact

scholarly journals Market frictions and the pricing of sovereign credit default swaps

2016 ◽  
Vol 60 ◽  
pp. 223-252 ◽  
Author(s):  
Antonio Rubia ◽  
Lidia Sanchis-Marco ◽  
Pedro Serrano
Keyword(s):  
Credit Default Swaps ◽  
Market Frictions ◽  
Sovereign Credit ◽  
Credit Default

scholarly journals Credit Default Swaps and Sovereign Debt Markets

2011 ◽  
Author(s):  
M. Kabir Hassan ◽  
Geoffrey M. Ngene ◽  
Jung-Suk Yu
Keyword(s):  
Sovereign Debt ◽  
Credit Default Swaps ◽  
Credit Default ◽  
Debt Markets

scholarly journals Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises

2003 ◽  
Vol 03 (106) ◽  
pp. 1 ◽  
Author(s):  
Jorge A. Chan-Lau ◽  
Keyword(s):  
Sovereign Debt ◽  
Credit Default Swaps ◽  
Credit Default ◽  
Debt Crises

scholarly journals ANALYSIS OF LITHUANIAN CREDIT DEFAULT SWAPS

2015 ◽  
Vol 16 (5) ◽  
pp. 916-930 ◽  
Author(s):  
Arvydas Kregzde ◽  
Gediminas Murauskas
Keyword(s):  
Risk Premium ◽  
Sovereign Debt ◽  
Price Discovery ◽  
Credit Default Swaps ◽  
Bond Market ◽  
East Europe ◽  
Leading Role ◽  
Credit Default ◽  
Yield Risk ◽  
The Government

This paper studies international sovereign Credit Default Swaps (CDS) market focusing attention to the CDS of Central and East Europe. The main purpose of the study was to perform detail analysis of Lithuanian CDS in the global capital market. We compared the CDS markets of other countries and found some commonalities between them. We study the credit curve produced by CDS and volatility of CDS. A great attention is paid to investigate the relationship of CDS and the government bond market. Analysis of finding a leading role of CDS and the bond markets in the price discovering process is made. A leading market for different periods is found by using the Vector Error Correction model. Our main finding is that during the volatile period price discovery takes place in the bond market and in the calm period price discovery is observed in the CDS market. Disclosed relationship between CDS spreads and Eurobonds yield risk premium gives an additional decision making tool for sovereign debt managers.

The Co-Movement of Sovereign Credit Default Swaps and Bonds, and Stock Markets in Europe

2012 ◽  
Author(s):  
M. Teresa Corzo ◽  
Javier Gomez-Biscarri ◽  
Laura Lazcano
Keyword(s):  
Stock Markets ◽  
Credit Default Swaps ◽  
Sovereign Credit ◽  
Credit Default
Sign in / Sign up

Export Citation Format

Share Document