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Contagion and Excess Correlation in Credit Default Swaps

  • Published:2011 Issue: Volume: Page:
  • ISSN:1556-5068
  • Container-title:SSRN Electronic Journal
  • language:en
  • Short-container-title:SSRN Journal

Author:

Anderson Mike

Publisher

Elsevier BV

Reference79 articles.

1. Asset Pricing with Liquidity Risk;V Acharya;Journal of Financial Economics,2005

2. Causes of the Financial Crisis;V V Acharya;Critial Review,2009

3. Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of;V V Acharya;SSRN eLibrary. Working Paper Series,2005

4. Credit Risk Transfer and Contagion;F Allen;Journal of Monetary Economics,2006

5. A Survey of Cyclical Effects in Credit Risk Measurement Models. SSRN eLibrary;L Allen;Working Paper Series,2003

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1. Phenomenon of Financial Contagion on the Crisis Framework, The;Global Encyclopedia of Public Administration, Public Policy, and Governance;2022

2. Sovereign Risk and the Bank Lending Channel: Differences across Countries and the Effects of the Financial Crisis;Journal of Money, Credit and Banking;2021-04-22

3. The Phenomenon of Financial Contagion on the Crisis Framework;Global Encyclopedia of Public Administration, Public Policy, and Governance;2021

4. The single supervision mechanism and contagion between bank and sovereign risk;Journal of Regulatory Economics;2019-01-08

5. Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach;Journal of Financial Stability;2016-10
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