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The Drivers of Sovereign CDS Spread Changes: Local Versus Global Factors
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The Drivers of Sovereign CDS Spread Changes: Local Versus Global Factors (2017)The Drivers of Sovereign CDS Spread Chang…CoVaR (2016)CoVaRSystemic sovereign credit risk: Lessons from the U.S. and Europe (2013)Systemic sovereign credit ris…What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk (2012)What is the risk of European …The EMU sovereign-debt crisis: Fundamentals, expectations and contagion (2012)The EMU sovereign-debt crisis…Sovereign credit ratings and financial markets linkages: Application to European data (2012)Sovereign credit ratings and …Daily pricing of emerging market sovereign CDS before and during the global financial crisis (2012)Daily pricing of emerging mar…Political and Fiscal Risk Determinants of Sovereign Spreads in Emerging Markets (2011)Political and Fiscal Risk Det…How Sovereign Is Sovereign Credit Risk? 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References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2016CoVaR2,395 cited
  • 2003International Business Cycles: World, Region, and Country-Specific Factors1,234 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
  • 2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads805 cited
  • 1984LDC Foreign Borrowing and Default Risk: An Empirical Investigation, 1976-80459 cited
  • 2012The EMU sovereign-debt crisis: Fundamentals, expectations and contagion458 cited
  • 2012What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk422 cited
  • 2012Sovereign credit ratings and financial markets linkages: Application to European data375 cited
  • 2013Systemic sovereign credit risk: Lessons from the U.S. and Europe373 cited
  • 2010The reaction of emerging market credit default swap spreads to sovereign credit rating changes293 cited
  • 1983LDC's Foreign Borrowing and Default Risk: An Empirical Investigation287 cited
  • 2005The Evolution and Determinants of Emerging Markets Credit Spreads in the 1990s248 cited
  • 1999The Evolution and Determinants of Emerging Market Credit Spreads in the 1990s228 cited
  • 2012

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Daily pricing of emerging market sovereign CDS before and during the global financial crisis
165 cited
  • 2011Political and Fiscal Risk Determinants of Sovereign Spreads in Emerging Markets150 cited
  • Cited by

    • 2019Oil market conditions and sovereign risk in MENA oil exporters and importers67 cited
    • 2024Volatility Spillovers among Sovereign Credit Default Swaps of Emerging Economies and Their Determinants20 cited