Non-Default Component of Sovereign Emerging Market Yield Spreads and Its Determinants:
            Evidence from the Credit Default Swap Market

Ugur N Küçük

doi:10.3905/jfi.2010.19.4.044

Non-Default Component of Sovereign Emerging Market Yield Spreads and Its Determinants: Evidence from the Credit Default Swap Market

The Journal of Fixed Income ◽

10.3905/jfi.2010.19.4.044 ◽

2010 ◽

Vol 19 (4) ◽

pp. 44-66 ◽

Cited By ~ 9

Author(s):

Ugur N Küçük

Keyword(s):

Emerging Market ◽

Credit Default Swap ◽

Yield Spreads ◽

Credit Default ◽

Default Swap

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The behavior of emerging market sovereigns' credit default swap premiums and bond yield spreads

International Journal of Finance & Economics ◽

10.1002/ijfe.408 ◽

2010 ◽

Vol 15 (1) ◽

pp. 31-58 ◽

Cited By ~ 15

Author(s):

Michael Adler ◽

Jeong Song

Keyword(s):

Emerging Market ◽

Credit Default Swap ◽

Yield Spreads ◽

Bond Yield ◽

Credit Default ◽

Default Swap

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Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market

The Journal of Finance ◽

10.1111/j.1540-6261.2005.00797.x ◽

2005 ◽

Vol 60 (5) ◽

pp. 2213-2253 ◽

Cited By ~ 1116

Author(s):

FRANCIS A. LONGSTAFF ◽

SANJAY MITHAL ◽

ERIC NEIS

Keyword(s):

Default Risk ◽

Credit Default Swap ◽

Yield Spreads ◽

Credit Default ◽

Default Swap ◽

New Evidence

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Overpricing in Emerging Market Credit-Default-Swap Contracts: Some Evidence from Recent Distress Cases

SSRN Electronic Journal ◽

10.2139/ssrn.887994 ◽

2005 ◽

Author(s):

Manmohan Singh ◽

Jochen R. Andritzky

Keyword(s):

Emerging Market ◽

Credit Default Swap ◽

Credit Default ◽

Default Swap ◽

Swap Contracts

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Overpricing in Emerging Market Credit-Default-Swap Contracts: Some Evidence From Recent Distress Cases

IMF Working Papers ◽

10.5089/9781451861440.001 ◽

2005 ◽

Vol 05 (125) ◽

pp. 1 ◽

Cited By ~ 3

Author(s):

Jochen R. Andritzky ◽

Manmohan Singh ◽

◽

Keyword(s):

Emerging Market ◽

Credit Default Swap ◽

Credit Default ◽

Default Swap ◽

Swap Contracts

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Hedging emerging market bonds and the rise of the credit default swap

International Review of Financial Analysis ◽

10.1016/j.irfa.2007.06.004 ◽

2007 ◽

Vol 16 (5) ◽

pp. 452-470 ◽

Cited By ~ 1

Author(s):

Frank S. Skinner ◽

Julinda Nuri

Keyword(s):

Emerging Market ◽

Credit Default Swap ◽

Credit Default ◽

Default Swap

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The reaction of emerging market credit default swap spreads to sovereign credit rating changes

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2010.05.014 ◽

2010 ◽

Vol 34 (12) ◽

pp. 2861-2873 ◽

Cited By ~ 151

Author(s):

Iuliana Ismailescu ◽

Hossein Kazemi

Keyword(s):

Credit Rating ◽

Emerging Market ◽

Credit Default Swap ◽

Sovereign Credit ◽

Credit Default ◽

Default Swap ◽

Rating Changes ◽

Sovereign Credit Rating ◽

Swap Spreads

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Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market

CFA Digest ◽

10.2469/dig.v36.n1.1810 ◽

2006 ◽

Vol 36 (1) ◽

pp. 24-25

Author(s):

Christopher J. Sullivan

Keyword(s):

Default Risk ◽

Credit Default Swap ◽

Yield Spreads ◽

Credit Default ◽

Default Swap ◽

New Evidence

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The Drivers of Credit Default Swap Prices: Evidence from Selected Emerging Market Countries

Emerging Markets Finance and Trade ◽

10.2753/ree1540-496x4905s514 ◽

2013 ◽

Vol 49 (sup5) ◽

pp. 228-249 ◽

Cited By ~ 13

Author(s):

Hasan Murat Ertugrul ◽

Huseyin Ozturk

Keyword(s):

Emerging Market ◽

Credit Default Swap ◽

Emerging Market Countries ◽

Credit Default ◽

Default Swap

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Estimating the Default, Tax and Liquidity Components of Corporate Yield Spreads Using the Information in Credit Default Swap Premia

SSRN Electronic Journal ◽

10.2139/ssrn.972810 ◽

2007 ◽

Author(s):

Sheen Liu ◽

Hai Lin ◽

Chunchi Wu

Keyword(s):

Credit Default Swap ◽

Yield Spreads ◽

Credit Default ◽

Default Swap

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Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market

10.3386/w10418 ◽

2004 ◽

Cited By ~ 56

Author(s):

Francis Longstaff ◽

Sanjay Mithal ◽

Eric Neis

Keyword(s):

Default Risk ◽

Credit Default Swap ◽

Yield Spreads ◽

Credit Default ◽

Default Swap ◽

New Evidence

Download Full-text