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Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis

  • Published:2013-06 Issue: Volume:35 Page:124-145
  • ISSN:0261-5606
  • Container-title:Journal of International Money and Finance
  • language:en
  • Short-container-title:Journal of International Money and Finance

Author:

Arce Oscar,Mayordomo Sergio,Peña Juan Ignacio

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference38 articles.

1. Liquidity Risk and Correlation Risk: a Clinical Study of the General Motors and Ford Downgrade of May 2005;Acharya,2007

2. An Empirical Study on the Decoupling Movements between Corporate Bond and CDS Spreads;Alexopoulou,2009

3. Sovereign CDS and bond pricing dynamics in emerging markets: does the cheapest-to-deliver option matter?;Ammer;Journal of International Financial Markets, Institutions and Money,2007

4. Counterparty credit risk and the credit default swap market;Arora;Journal of Financial Economics,2012

5. The Determinants of the CDS-bond Basis during the Financial Crisis of 2007–2009;Bai,2009

Cited by 80 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The impact of COVID-19 on sovereign contagion;Journal of Financial Stability;2024-02

2. The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network;Journal of International Financial Markets, Institutions and Money;2023-10

3. Sovereign bond and CDS market contagion: A story from the Eurozone crisis;Journal of International Money and Finance;2023-10

4. Asymmetric and nonlinear comovements of credit default swap and bond markets: evidence from an emerging market;Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad;2023-06-07

5. THE RELATIONSHIP BETWEEN CDS AND BOND SPREADS: LITERATURE DISCUSSION FROM A BIBLIOMETRIC PERSPECTIVE;Öneri Dergisi;2023-01-31
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