CDS Spreads in European Periphery: Some Technical Issues to Consider
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- Jeffery D Amato, 2005. "Risk aversion and risk premia in the CDS market," BIS Quarterly Review, Bank for International Settlements, December.
- Carolyne Spackman & Mr. Manmohan Singh, 2009. "The Use (and Abuse) of CDS Spreads During Distress," IMF Working Papers 2009/062, International Monetary Fund.
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- 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.
- López-Espinosa, Germán & Moreno, Antonio & Rubia, Antonio & Valderrama, Laura, 2017. "Sovereign tail risk," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 174-188.
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Keywords
WP; CDS; derivative; CDS spread; bank; CDS spreads; peripheral Europe; stochastic recovery rate; probability of default; collateral use in OTC derivatives; cheapest-to-deliver bonds; price of risk; CDS contract; CDS data; CDS recovery; CDS signal; OTC derivative; CDS settlement; Credit default swap; Derivative markets; Bonds; Over-the-counter markets; Collateral; Europe;All these keywords.
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