Essays about: "Sovereign CDS spread"

Found 5 essays containing the words Sovereign CDS spread.

  1. 1. Investing in Emerging Markets: Environmental Performance and its Effect on Risk Profile

    University essay from Lunds universitet/Ekonomisk-historiska institutionen

    Author : Felicity Jaarnek; [2023]
    Keywords : CDS spread; sovereign debt; ESG; environment; emerging economies; Business and Economics;

    Abstract : Debt has gained paramount importance for policy makers, stakeholders, and investors due to its far-reaching implications on economic stability, growth prospects, and financial resilience. Meanwhile, environmental conditions are increasing in importance when assessing credit risk. READ MORE

  3. 2. Credit rating impact on the CDS market: the case of PIIGS countries coving European debt crisis period

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Xiaoan Zhou; [2018]
    Keywords : Sovereign Credit Rating; Credit Rating Agencies; CDS market; Sovereign CDS spread; European debt crisis;

    Abstract : In this paper, I analyze the impact of sovereign debt rating to CDS market under PIIGS (Portugal, Italy, Ireland, Greece and Spain) context during the European Debt Crisis. Via panel regression, I find country's sovereign rating and outlook have significant impact on the CDS market during the pre-crisis period. READ MORE

  4. 3. Analysing Credit Default Swap Spreads of European Banks

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Jovita Latakaite; Mihaela Dor Neagu; [2014]
    Keywords : Credit Default Swaps; Credit Risk; European Banks; Structural Models of Credit Risk; Credit Ratings; Liquidity; Market Factors; Business and Economics;

    Abstract : This paper investigates the determinants of the credit default swaps changes of 34 European banks between January 2004 and December 2013. The sample period is further divided into four sub-periods covering both calm and turbulent times (pre-crisis, acute phase and less acute phase of the financial crisis, and the most recent European sovereign debt crisis). READ MORE

  5. 4. Wide Spread Trade: Can terms of trade explain sovereign CDS spreads?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Gustaf Folke; Carl-Adam von Schéele; [2011]
    Keywords : Credit risk; Terms of trade; Credit Default Swaps; Emerging markets; Sovereign;

    Abstract : This study reexamines the recent finding that level and volatility of terms of trade has significant explanatory power on spreads of emerging market sovereigns. In contradiction to previous results, we find no significant effect of these variables after controlling for global factors. Specifically, we find that the U.S. READ MORE

  6. 5. Determinants of Sovereign Credit Default Swap spreads for PIIGS - A macroeconomic approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Christoffer Brandorf; Johan Holmberg; [2010]
    Keywords : Macroeconomic variables; Credit Default Swap; Spread; PIIGS; Business and Economics;

    Abstract : This study examines the effects of changes in macroeconomic variables on sovereign CDS spreads for the countries within the PIIGS block. We run regressions for the countries individually and with the inclusion of Germany as a benchmark. READ MORE