The Dynamics of European Sovereign Credit Default Swap and Bond Markets

The Dynamics of European Sovereign Credit Default Swap and Bond Markets
Author: Eric Corcoran
Publisher:
Total Pages:
Release: 2010
Genre:
ISBN:

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The Dynamics of European Sovereign Credit Default Swap and Bond Markets
Language: en
Pages:
Authors: Eric Corcoran
Categories:
Type: BOOK - Published: 2010 - Publisher:

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The Dynamics of Sovereign Credit Default Swap and Bond Markets
Language: en
Pages: 18
Authors: Erdem Aktug
Categories:
Type: BOOK - Published: 2014 - Publisher:

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This paper evaluates the dynamic relationship between sovereign credit default swap (CDS) and bond markets over the period 2001 to 2007 across 30 emerging marke
Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises
Language: en
Pages: 21
Authors: Mr.Jorge A. Chan-Lau
Categories: Business & Economics
Type: BOOK - Published: 2003-05-01 - Publisher: International Monetary Fund

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In reduced-form pricing models, it is usual to assume a fixed recovery rate to obtain the probability of default from credit default swap prices. An alternative
Implied Liquidity Risk Premium in the Term Structure of Sovereign Credit Default Swap and Bond Spreads
Language: en
Pages: 43
Authors: Saad Badaoui
Categories:
Type: BOOK - Published: 2014 - Publisher:

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In this study, we focus on the dynamic properties of the risk-neutral liquidity risk premium specific to the sovereign credit default swap (CDS) and bond market
Pricing of Sovereign Credit Risk
Language: en
Pages: 27
Authors: Mr.Emre Alper
Categories: Business & Economics
Type: BOOK - Published: 2012-01-01 - Publisher: International Monetary Fund

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We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign