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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 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