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

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

The Effects of US Macroeconomic Surprises on the Term Structure of Emerging-market Sovereign Credit Default Swaps

2021 ◽  
Author(s):  
Chi Yin ◽  
Junmao Chiu ◽  
Yu-Jen Hsiao ◽  
建文 湯 ◽  
Wei-Che Tsai
Keyword(s):  
Term Structure ◽  
Emerging Market ◽  
Credit Default Swaps ◽  
Sovereign Credit ◽  
Credit Default

scholarly journals Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach

2013 ◽  
Vol 37 (7) ◽  
pp. 2392-2407 ◽  
Author(s):  
Saad Badaoui ◽  
Lara Cathcart ◽  
Lina El-Jahel
Keyword(s):  
Default Risk ◽  
Factor Model ◽  
Credit Default Swaps ◽  
Sovereign Default ◽  
Sovereign Credit ◽  
Sovereign Default Risk ◽  
Credit Default ◽  
Model Approach

Relative Efficiency of G8 Sovereign Credit Default Swaps and Bond Scrips: An Adaptive Market Hypothesis Perspective

2016 ◽  
Vol 4 (2) ◽  
pp. 127-150 ◽  
Author(s):  
Vinodh Madhavan ◽  
Rakesh Arrawatia
Keyword(s):  
Strong Evidence ◽  
Long Memory ◽  
Relative Efficiency ◽  
Credit Default Swaps ◽  
Sovereign Credit ◽  
Sovereign Bonds ◽  
Standardized Residuals ◽  
Credit Default ◽  
Rolling Windows ◽  
Hurst Exponents

This article is aimed at examining the degree of efficiency exhibited by the sovereign credit default swaps (SCDS) and the sovereign bonds (SBs) pertaining to the G8 countries, namely, US, UK, Japan, Germany, Italy, France and Russia, from an Adaptive Market Hypothesis (AMH) perspective. At the outset, the authors employ rolling AR(1)–GARCH(1,1) filter so as to remove short-term dependency in the different time series considered for this study. The AR(1)–GARCH(1,1)-filtered rolling standardized residuals were then subjected to Mandelbrot’s classical R/S test so as to obtain rolling Hurst exponents. Subsequently, the evolving efficiencies of G8 SCDS and SB scrips as reflected by the scrip-wise rolling Hurst exponents are made available. In doing so, scrip-wise transient inefficiencies, as characterized by periods that exhibit strong evidence of long memory, were identified. The authors then offer a ranking of G8 SCDS and SB scrips, in the decreasing order of relative efficiency, based on proportion of scrip-wise rolling windows that exhibited strong evidence of long memory. The findings pertaining to this study are as follows. First, SBs pertaining to UK, Japan, US, France and Russia were found to be the most efficient, while SBs pertaining to Russia were found to be the least efficient. Second, when it comes to SCDS, Russian SCDS scrips were found to be relatively more efficient than the Russian SBs. Having said so, G8 SCDS scrips pertaining to the other countries were found to be inefficient vis-à-vis their respective SBs. Of all the G8 countries, US was the only country wherein no strong evidence of long memory was witnessed in SCDS and/or SB scrips. Finally, there is discernable difference in the degree of efficiency exhibited by G8 SCDS scrips vis-à-vis their underlying reference obligations (ROs).

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