Exploring the CDS-Bond Basis
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Citations
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Cited by:
- Juan Ignacio Pe~na, 2019. "Credit Cycles, Securitization, and Credit Default Swaps," Papers 1901.00177, arXiv.org.
- Massimo Guidolin & Francesco Melloni & Manuela Pedio, 2019. "A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle," BAFFI CAREFIN Working Papers 19121, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Virginie Coudert & Mathieu Gex, 2010. "Le règlement des défauts sur le marché des credit default swaps : le cas de Lehman Brothers," Revue d'Économie Financière, Programme National Persée, vol. 97(2), pages 15-34.
- Mamatzakis, Emmanuel & Tsionas, Mike G., 2015. "How are market preferences shaped? The case of sovereign debt of stressed euro-area countries," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 106-116.
- Sergio Mayordomo & Juan Ignacio Peña & Juan Romo, 2011. "A New Test of Statistical Arbitrage with Applications to Credit Derivatives Markets," CNMV Working Papers CNMV Working Papers no. 4, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Stefano Giglio, 2011.
"Credit default swap spreads and systemic financial risk,"
Proceedings
1122, Federal Reserve Bank of Chicago.
- Giglio, Stefano, 2016. "Credit default swap spreads and systemic financial risk," ESRB Working Paper Series 15, European Systemic Risk Board.
- Gann, Philipp & Laut, Amelie, 2008. "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration 4231, University of Munich, Munich School of Management.
- Palladini, Giorgia & Portes, Richard, 2011.
"Sovereign CDS and Bond Pricing Dynamics in the Euro-area,"
CEPR Discussion Papers
8651, C.E.P.R. Discussion Papers.
- Giorgia Palladini & Richard Portes, 2011. "Sovereign CDS and Bond Pricing Dynamics in the Euro-area," NBER Working Papers 17586, National Bureau of Economic Research, Inc.
- Óscar Arce & Fco. Javier González Pueyo & Lucio Sanjuán, 2010. "The Credit Default Swaps market: areas of vulnerability and regulatory responses," CNMV Working Papers CNMV Working Papers no. 4, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Gann, Philipp, 2008. "Der Internal Capital Adequacy Assessment Process als regulatorischer Treiber eines aktiven Kreditportfoliomanagements," Discussion Papers in Business Administration 4831, University of Munich, Munich School of Management.
- Michael Adler & Jeong Song, 2010. "The behavior of emerging market sovereigns' credit default swap premiums and bond yield spreads," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 31-58.
- Guesmi, Sahar & Ben-Abdallah, Ramzi & Breton, Michèle & Dionne, Georges, 2019. "The CDS-bond Basis: Negativity Persistence and Limits to Arbitrage," Working Papers 19-4, HEC Montreal, Canada Research Chair in Risk Management.
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"The Interactions between the Credit Default Swap and the Bond Markets in Financial Turmoil,"
Review of International Economics, Wiley Blackwell, vol. 21(3), pages 492-505, August.
- Virginie Coudert & Mathieu Gex, 2011. "The Interactions Between the Credit Default Swap and the Bond Markets in Financial Turmoil," Working Papers 2011-02, CEPII research center.
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More about this item
Keywords
Bond; Co integration; Credit; Risk Neutrality;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G19 - Financial Economics - - General Financial Markets - - - Other
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