Term Structure of Credit Default Swap Spreads and Cross-Section of Stock Returns

2011 ◽  
Author(s):  
Bing Han ◽  
Yi Zhou
Keyword(s):  
Stock Returns ◽  
Term Structure ◽  
Cross Section ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

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

scholarly journals Accounting Transparency and the Term Structure of Credit Default Swap Spreads

2008 ◽  
Author(s):  
Claus Bajlum ◽  
Peter Tind Larsen
Keyword(s):  
Term Structure ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
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

Understanding the term structure of credit default swap spreads

2015 ◽  
Vol 31 ◽  
pp. 18-35 ◽  
Author(s):  
Bing Han ◽  
Yi Zhou
Keyword(s):  
Term Structure ◽  
Credit Default Swap ◽  
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

scholarly journals Exchange Rates and Sovereign Risk

2021 ◽  
Author(s):  
Pasquale Della Corte ◽  
Lucio Sarno ◽  
Maik Schmeling ◽  
Christian Wagner
Keyword(s):  
Risk Factor ◽  
Exchange Rates ◽  
Cross Section ◽  
Credit Default Swap ◽  
Risk Premia ◽  
Sovereign Risk ◽  
Distress Risk ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

An increase in a country’s sovereign risk, as measured by credit default swap spreads, is accompanied by a contemporaneous depreciation of its currency and an increase of its volatility. The relation between currency excess returns and sovereign risk is mainly driven by default expectations (rather than distress risk premia) and exposure to global sovereign risk shocks and also emerges in a predictive setting for currency risk premia. We show that a sovereign risk factor is priced in the cross-section of currency returns and that it is not subsumed by the carry factor. This paper was accepted by David Simchi-Levi, finance.

Jumps in Credit Default Swap Spreads and Stock Returns

2010 ◽  
Vol 20 (3) ◽  
pp. 56-70 ◽  
Author(s):  
Patrick Trutwein ◽  
Sanjay Ramchander ◽  
Dirk Schiereck
Keyword(s):  
Stock Returns ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads
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