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Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion
(2016-06)
Czech National Bank Working Paper Series
We examine the role of the CDS and bond markets during and before the recent euro area sovereign debt crisis as transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for ...
01 - Zeitschriftenartikel, Journalartikel oder Magazin
Intraday dynamics of euro area sovereign CDS and bonds
(Bank for International Settlements, 2013-09)
Bank for International Settlements Working Paper
The recent sovereign debt crisis in the euro area has seen credit spreads on sovereign bonds and credit default swaps (CDS) surge for a number of member states. While these events have increased interest in understanding ...
01B - Beitrag in Magazin oder Zeitung
Intraday dynamics of euro area sovereign credit risk contagion
(Bank for International Settlements, 2016-07)
Bank for International Settlements Working Paper
We examine the role of the CDS and bond markets during and before the recent euro area sovereign debt crisis as transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for ...
01B - Beitrag in Magazin oder Zeitung
Arbitrage costs and the persistent non-zero CDS-bond basis: evidence from intraday euro area sovereign debt markets
(Bank for International Settlements, 2017-04-26)
Bank for International Settlements Working Paper
We find evidence that in the market for euro area sovereign credit risk, arbitrageurs engage in basis trades between credit default swap (CDS) and bond markets only when the CDS-bond basis exceeds a certain threshold. This ...
01B - Beitrag in Magazin oder Zeitung