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Are all Credit Default Swap databases equal?

Citations

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Cited by:

  1. Junye Li & Gabriele Zinna, 2014. "How much of bank credit risk is sovereign risk? Evidence from the eurozone," Temi di discussione (Economic working papers) 990, Bank of Italy, Economic Research and International Relations Area.
  2. Mäkinen, Taneli & Sarno, Lucio & Zinna, Gabriele, 2020. "Risky bank guarantees," Journal of Financial Economics, Elsevier, vol. 136(2), pages 490-522.
  3. Antón, Miguel & Mayordomo, Sergio & Rodríguez‐Moreno, María, 2018. "Dealing with dealers: Sovereign CDS comovements," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 96-112.
  4. Ausloos, Marcel & Castellano, Rosella & Cerqueti, Roy, 2016. "Regularities and discrepancies of credit default swaps: a data science approach through Benford's law," Chaos, Solitons & Fractals, Elsevier, vol. 90(C), pages 8-17.
  5. Hans Degryse & Yalin Gündüz & Kuchulain O'Flynn & Steven Ongena, 2020. "Identifying Empty Creditors with a Shock and Micro-Data," Swiss Finance Institute Research Paper Series 20-15, Swiss Finance Institute.
  6. Kiesel, F., 2016. "The effect of credit and rating events on credit default swap and equity markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 81247, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  7. Langkamp, Christian, 2011. "Counterparty credit risk management in industrial corporates," MPRA Paper 34358, University Library of Munich, Germany.
  8. Eric Jondeau & Benoit Mojon & Jean-Guillaume Sahuc, 2024. "Bank Rollover Risk and Liquidity Supply Regimes," International Journal of Central Banking, International Journal of Central Banking, vol. 20(3), pages 373-454, July.
  9. Acharya, Viral V. & Imbierowicz, Björn & Steffen, Sascha & Teichmann, Daniel, 2020. "Does the lack of financial stability impair the transmission of monetary policy?," Journal of Financial Economics, Elsevier, vol. 138(2), pages 342-365.
  10. Juan Ignacio Pe~na, 2019. "Credit Cycles, Securitization, and Credit Default Swaps," Papers 1901.00177, arXiv.org.
  11. Raimbourg, Philippe & Salvadè, Federica, 2021. "Rating Announcements, CDS Spread and Volatility During the European Sovereign Crisis," Finance Research Letters, Elsevier, vol. 40(C).
  12. De Bruyckere, Valerie & Gerhardt, Maria & Schepens, Glenn & Vander Vennet, Rudi, 2013. "Bank/sovereign risk spillovers in the European debt crisis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4793-4809.
  13. Chan, Ka Kei & Kolokolova, Olga & Lin, Ming-Tsung & Poon, Ser-Huang, 2023. "Price convergence between credit default swap and put option: New evidence," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 188-213.
  14. Martin, Xiumin & Roychowdhury, Sugata, 2015. "Do financial market developments influence accounting practices? Credit default swaps and borrowers׳ reporting conservatism," Journal of Accounting and Economics, Elsevier, vol. 59(1), pages 80-104.
  15. Lei Zhao, 2018. "Market†based estimates of implicit government guarantees in European financial institutions," European Financial Management, European Financial Management Association, vol. 24(1), pages 79-112, January.
  16. Ballester, Laura & Casu, Barbara & González-Urteaga, Ana, 2016. "Bank fragility and contagion: Evidence from the bank CDS market," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 394-416.
  17. Sascha Kolaric & Florian Kiesel & Steven Ongena, 2021. "Market Discipline through Credit Ratings and Too‐Big‐to‐Fail in Banking," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(2-3), pages 367-400, March.
  18. Molyneux, Philip & Pancotto, Livia & Reghezza, Alessio, 2021. "A new measure for gauging the riskiness of European Banks’ sovereign bond portfolios," Finance Research Letters, Elsevier, vol. 42(C).
  19. Michele Leonardo Bianchi, 2012. "An empirical comparison of alternative credit default swap pricing models," Temi di discussione (Economic working papers) 882, Bank of Italy, Economic Research and International Relations Area.
  20. Vergote, Olivier, 2016. "Credit risk spillover between financials and sovereigns in the euro area during 2007-2015," Working Paper Series 1898, European Central Bank.
  21. Miriam Marra, 2017. "Explaining co-movements between equity and CDS bid-ask spreads," Review of Quantitative Finance and Accounting, Springer, vol. 49(3), pages 811-853, October.
  22. Trapp, Monika & Wewel, Claudio, 2012. "Transatlantic systemic risk," CFR Working Papers 12-10, University of Cologne, Centre for Financial Research (CFR).
  23. Manuel Buchholz & Lena Tonzer, 2016. "Sovereign Credit Risk Co-Movements in the Eurozone: Simple Interdependence or Contagion?," International Finance, Wiley Blackwell, vol. 19(3), pages 246-268, December.
  24. Kita, Arben & Tortorice, Daniel L., 2021. "Same firm, two volatilities: How variance risk is priced in credit and equity markets," Journal of Corporate Finance, Elsevier, vol. 69(C).
  25. Avino, Davide & Lazar, Emese & Varotto, Simone, 2013. "Price discovery of credit spreads in tranquil and crisis periods," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 242-253.
  26. Bertoni, Fabio & Lugo, Stefano, 2014. "The effect of sovereign wealth funds on the credit risk of their portfolio companies," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 21-35.
  27. Groba, Jonatan & Lafuente, Juan A. & Serrano, Pedro, 2013. "The impact of distressed economies on the EU sovereign market," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2520-2532.
  28. Nielsen, Caren Yinxia, 2011. "Hidden in the Factors? The Effect of Credit Risk on the Cross-section of Equity Returns," Working Papers 2011:38, Lund University, Department of Economics, revised 01 Oct 2016.
  29. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
  30. Andrew G. Atkeson & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2013. "The Market for OTC Derivatives," NBER Working Papers 18912, National Bureau of Economic Research, Inc.
  31. Cathcart, Lara & El-Jahel, Lina & Evans, Leo & Shi, Yining, 2019. "Excess comovement in credit default swap markets: Evidence from the CDX indices," Journal of Financial Markets, Elsevier, vol. 43(C), pages 96-120.
  32. Trapp, Monika & Wewel, Claudio, 2013. "Transatlantic systemic risk," CFR Working Papers 12-10 [rev.], University of Cologne, Centre for Financial Research (CFR).
  33. Sudheer Chava & Rohan Ganduri & Chayawat Ornthanalai, 2019. "Do Credit Default Swaps Mitigate the Impact of Credit Rating Downgrades?," Review of Finance, European Finance Association, vol. 23(3), pages 471-511.
  34. Juliana Salomao, 2015. "Sovereign Debt Renegotiation and Credit Default Swaps," 2015 Meeting Papers 826, Society for Economic Dynamics.
  35. Zimmermann, Paul, 2021. "The role of the leverage effect in the price discovery process of credit markets," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
  36. Podlich, Natalia & Wedow, Michael, 2011. "Credit contagion between financial systems," Discussion Paper Series 2: Banking and Financial Studies 2011,15, Deutsche Bundesbank.
  37. Abbassi, Puriya & Brownlees, Christian & Hans, Christina & Podlich, Natalia, 2017. "Credit risk interconnectedness: What does the market really know?," Journal of Financial Stability, Elsevier, vol. 29(C), pages 1-12.
  38. Mayordomo, Sergio & Rodriguez-Moreno, Maria & Peña, Juan Ignacio, 2014. "Liquidity commonalities in the corporate CDS market around the 2007–2012 financial crisis," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 171-192.
  39. Black, Lamont & Correa, Ricardo & Huang, Xin & Zhou, Hao, 2016. "The systemic risk of European banks during the financial and sovereign debt crises," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 107-125.
  40. Irresberger, Felix & Weiß, Gregor N.F. & Gabrysch, Janet & Gabrysch, Sandra, 2018. "Liquidity tail risk and credit default swap spreads," European Journal of Operational Research, Elsevier, vol. 269(3), pages 1137-1153.
  41. Veronika Kajurova & Jana Hvozdenska, 2016. "Linkages between CDS, bond and stock markets: Evidence from Europe," MENDELU Working Papers in Business and Economics 2016-63, Mendel University in Brno, Faculty of Business and Economics.
  42. Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2009. "Towards a Common European Monetary Union Risk Free Rate," NBER Working Papers 15353, National Bureau of Economic Research, Inc.
  43. Aizenman, Joshua & Hutchison, Michael & Jinjarak, Yothin, 2013. "What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk," Journal of International Money and Finance, Elsevier, vol. 34(C), pages 37-59.
  44. Hertrich, Markus, 2015. "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper 67837, University Library of Munich, Germany.
  45. Yinxia G. Nielsen , Caren, 2013. "Is Default Risk Priced in Equity Returns?," Knut Wicksell Working Paper Series 2013/2, Lund University, Knut Wicksell Centre for Financial Studies.
  46. Podlich, Natalia & Wedow, Michael, 2014. "Crossborder financial contagion to Germany: How important are OTC dealers?," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 1-9.
  47. Kiesel, Florian, 2016. "The effect of credit and rating events on credit default swap and equity markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 81265, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  48. Kiesel, Florian & Kolaric, Sascha & Schiereck, Dirk, 2016. "Market integration and efficiency of CDS and equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 209-229.
  49. Ballester, Laura & González-Urteaga, Ana, 2021. "Do sovereign ratings cause instability in cross-border emerging CDS markets?," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 643-663.
  50. Christian Meine & Hendrik Supper & Gregor Weiß, 2015. "Do CDS spreads move with commonality in liquidity?," Review of Derivatives Research, Springer, vol. 18(3), pages 225-261, October.
  51. Paul A. Griffin & Hyun A. Hong & Jeong-Bon Kim, 2016. "Price discovery in the CDS market: the informational role of equity short interest," Review of Accounting Studies, Springer, vol. 21(4), pages 1116-1148, December.
  52. Rosella Castellano & Rita D’Ecclesia, 2013. "CDS volatility: the key signal of credit quality," Annals of Operations Research, Springer, vol. 205(1), pages 89-107, May.
  53. Santiago Forte & Lidija Lovreta, 2015. "Time†Varying Credit Risk Discovery in the Stock and CDS Markets: Evidence from Quiet and Crisis Times," European Financial Management, European Financial Management Association, vol. 21(3), pages 430-461, June.
  54. Andres, Christian & Betzer, André & Doumet, Markus, 2021. "Measuring changes in credit risk: The case of CDS event studies," Global Finance Journal, Elsevier, vol. 49(C).
  55. Daures-Lescourret, Laurence & Fulop, Andras, 2022. "Standardization, transparency initiatives, and liquidity in the CDS market," Journal of Financial Markets, Elsevier, vol. 59(PA).
  56. Gemmill, Gordon & Marra, Miriam, 2019. "Explaining CDS prices with Merton’s model before and after the Lehman default," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 93-109.
  57. Mayordomo, Sergio & Posch, Peter N., 2016. "Does central clearing benefit risky dealers?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 91-100.
  58. Gautier Marti & Philippe Very & Philippe Donnat & Frank Nielsen, 2015. "A proposal of a methodological framework with experimental guidelines to investigate clustering stability on financial time series," Papers 1509.05475, arXiv.org.
  59. Michele Bianchi & Frank Fabozzi, 2015. "Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads," Computational Economics, Springer;Society for Computational Economics, vol. 46(2), pages 243-273, August.
  60. Ángela Coronado & Francisco Climent & Dolores Furió, 2021. "The Reliability of Spanish and German Electricity Forward Prices. Databases and Price Discovery Process," Mathematics, MDPI, vol. 9(6), pages 1-18, March.
  61. Bosma, Jakob & Koetter, Michael & Wedow, Michael, 2012. "Credit risk connectivity in the financial industry and stabilization effects of government bailouts," Discussion Papers 16/2012, Deutsche Bundesbank.
  62. Marc Peters & Hugues Pirotte, 2014. "Unveiling Sovereign Effects in European Banks CDS Spreads Variations," Working Papers CEB 14-018, ULB -- Universite Libre de Bruxelles.
  63. Ka Kei Chan & Ming‐Tsung Lin & Qinye Lu, 2024. "Corporate credit default swap systematic factors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1224-1256, July.
  64. Trapp, Monika & Wewel, Claudio, 2013. "Transatlantic systemic risk," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4241-4255.
  65. Avino, Davide & Lazar, Emese, 2012. "Rethinking Capital Structure Arbitrage," MPRA Paper 42850, University Library of Munich, Germany.
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