CDS spreads
Euro area CDS spreads in the crisis: The role of open market operations and contagion ESRI working paper no 449, February 2013
... crisis, CDS spreads were ...banks’ CDS spreads started increasing, and they rose further after the collapse of Lehman ...government CDS spreads began rising as ...corporate ...
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Credit default swap spread model : descriptive and predictive, insight in the determinants of cds spreads
... on spreads, and modelling as such. Spreads are dealt with in different ...the spreads studied are corporate bond ...credit spreads in this case as the difference between the yield of bond i ...
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What determines euro area bank CDS spreads? National Bank of Belgium Working Paper, No 190, May 2010
... credit spreads, probably because the financial industry is considered to be an opaque industry where traditional credit risk models are likely to be less ...both spreads on industrials and financials, other ...
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Are CDS spreads predictable? An analysis of linear and non linear forecasting models
... Europe CDS index is Byström ...iTraxx CDS speads in different regimes over the period from June-2004 to ...in CDS spreads in a volatile regime, whereas in stable conditions equity market ...
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The determinants of bank CDS spreads: Evidence from the financial crisis
... bank CDS spread grew, so did the explanatory power of the balance sheet ...bank CDS spreads and balance sheet ratios grew stronger during the crisis period, when a number of explanatory variables ...
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What drives corporate CDS spreads? A comparison across US, UK and EU firms
... Because CDS is essentially an insurance contract against the default of a firm’s bond, the CDS and corporate bond markets should theoretically move in tandem, closely interacting with each other (Kim et ...
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Credit Default Swap (CDS) Spreads: The Analysis of Time Series for The Integration with The Interest Rates and The Growth in Turkish Economy
... (CDS) spreads and some chosen macro economic data in Turkish ...these spreads. Therefore, the credit default swap spreads have be- come a kind of reliability ...of CDS spreads ...
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Sovereign and bank CDS spreads: two sides of the same coin?
... sovereign CDS and bank CDS daily mid-quotes from CMA (provided by Datastream) for six major European economies, namely France, Germany, Italy, Portugal, Sweden and ...provides CDS quotes obtained ...
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Does the accumulation of foreign currency reserves affect risk-taking? An event study approach
... examine CDS spreads and equity prices, measure the announcement relative to either market expectations or projected reserves, test the opposite results (that reserves reduce rather than increase ...
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BEPA monthly brief, Issue 34, February 2010
... sovereign spreads to widen against a narrowing of spreads and improving risk in the private banking ...and CDS spreads for those with the weakest fun- damentals will diverge notably from those ...
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ECB Policy and Eurozone Fragility: Was De Grauwe Right? CEPS Working Document No. 397, June 2014
... In the pre-announcement period, the contribution of Ireland and Portugal to PC1 (a proxy for a eurozone credit risk index) is small as suggested by respective loadings of 0.097 and 0.020. This result aligns well with the ...
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Essays in Sovereign Credit Risk
... The cross-section of these sovereign CDS spreads exhibits a strong degree of common- ality. The first principal component of spread changes explains roughly 74% of variation, whereas the first three ...
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Financial stress transmission from sovereign credit market before and after the Tunisian and Egyptian revolutions
... sovereign CDS spreads are both financial and macroeconomic ones: inflation rate, oil_price, Eur_EGP, rating and ...decreased CDS spreads by 9 bps that continue its rising with ...with ...
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The economic impact of credit default swap on credit markets
... Since CDS is introduced, it has also been widely used by investment banks, hedge funds and other speculators to "arbitrage" the mispricing of the credit risk of the same company in the cash and derivatives ...
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Multi Factor Bottom Up Model for Pricing Credit Derivatives
... underlying CDS spreads simultaneously. All the CDS spreads are matched exactly and the model implied tranche prices are within the bid-ask ...
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Downside risk and the size of credit spreads
... the spreads generated by the model, which range from 14 basis points in the second decile to 50 basis points in the tenth ...model spreads with the market spreads, given in column 8, we find that the ...
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EMU sovereign spreads and macroeconomic news
... To sum up, the main results are that, at least in the long run, observed spread dynamics can be largely explained by the following three main factors: the risk of default and the degree of liquidity of the government ...
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Electrodeposition of CdS-TiO2 for the Photocatalytic Degradation of Ammonia-Nitrogen Wastewater
... mL) under stirring for 0.5 h to prepare the electrolyte; the pH value was kept at approximately 1.8. The templates were anodic aluminium oxide (AAO) membranes. Based on an SEM measurement, the he channels were ca. 60 μm ...
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Liquidity, term spreads and monetary policy
... term spreads and output ...term spreads movements we look at the response of the main economic variables to anticipated innovations (news) to banking profitability as identified using the methodology deve- ...
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