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An empirical investigation of the effect of credit ratings on sovereign credit risk
(Universidad de Castilla La Mancha, 2015)
Documento de trabajo / Lan gaiak,
We investigate the cross-border spillover effects of credit rating events for sovereign CDS Latin American emerging economies during 2004-2014. The article extends the previous literature measuring the effect in terms of ...
Transmisión del riesgo de crédito en el sector bancario Europeo: crisis subprime y deuda soberana
(Taylor & Francis, 2014)
info:eu-repo/semantics/article,
El objetivo del presente trabajo es analizar en profundidad la transmisión del riesgo de
crédito, aproximado por los CDS spreads, en el sector bancario europeo durante el
periodo 2006-2012, intentando dar respuesta a ...
How credit ratings affect sovereign credit risk: cross-border evidence in Latin American emerging markets
(Elsevier, 2016)
info:eu-repo/semantics/article,
This article builds upon previous literature by providing a better understanding of how contagion changes in bordering sovereign CDS emerging markets resulting from credit rating events. To that end, we follow the novel ...
Volatility spillovers in the European bank CDS market
(Elsevier, 2015)
info:eu-repo/semantics/article,
From the 2007 subprime crisis to the recent Eurozone debt crisis,the banking industry has experienced terrible financial instabilitywith increasing volatility levels of bank default probability. UsingEuropean CDS spreads ...
Volatility transmission among European Bank CDS
(Universidad de Castilla-La Mancha, 2014)
info:eu-repo/semantics/workingPaper,
A partir de la crisis subprime en 2007 y hasta la reciente crisis de deuda de la zona euro el sector bancario europeo ha experimentado una terrible situación de inestabilidad financiera traducida en un aumento de los niveles ...