Hedging Emerging Market Stock Risk with Sovereign Credit Default Swaps

2016 ◽  
Author(s):  
Mitchell Ratner ◽  
Chih-Chieh (Jason) Chiu
Keyword(s):  
Emerging Market ◽  
Credit Default Swaps ◽  
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

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 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 Relative Role of Sovereign CDS and Bond Markets in Efficiently Pricing Emerging Market Sovereign Credit Risk

2020 ◽  
Vol 19 (3) ◽  
pp. 296-325
Author(s):  
Zubair Ali Raja ◽  
William J. Procasky ◽  
Renee Oyotode-Adebile
Keyword(s):  
Credit Risk ◽  
Price Discovery ◽  
Emerging Market ◽  
Jel Classification ◽  
Bond Markets ◽  
Relative Role ◽  
Data Set ◽  
Sovereign Credit ◽  
Credit Default ◽  
Sovereign Credit Risk

Extant literature reports mixed findings on the relative efficiency of credit default swaps (CDS) and bond markets in pricing emerging market sovereign credit risk. Using a more comprehensive data set than analyzed earlier, we reexamine this issue and find that CDS dominate bonds in the price discovery of this risk, an advantage we attribute to the greater relative liquidity of that market. One exception is during the financial crisis, suggesting that when panic hits, sovereign markets price credit risk differently. However, even then, the CDS market has a greater impact on price discovery than the bond market, indicating greater overall efficiency. JEL Classification: G11, G12, G13, G14, G23

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