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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 ...
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 ...