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Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads · Study

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ArticleSovereign credit risk and exchange rates: Evidence from CDS quanto spreads

Patrick Augustin2019

Article2019

Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads

Patrick Augustin · Mikhail Chernov · Dongho Song

71 citations·0/0 files stored·Journal of Financial Economics

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Credit Risk and Financial Regulations Global Financial Crisis and Policies European Monetary and Fiscal Policies

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References

1979A Model of Balance-of-Payments Crises 1999Modeling Term Structures of Defaultable Bonds 2000Specification Analysis of Affine Term Structure Models 2011How Sovereign Is Sovereign Credit Risk?2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads 2018Deviations from Covered Interest Rate Parity 2003Credit Risk : Pricing, Measurement, and Management 2004Is Default Event Risk Priced in Corporate Bonds?

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Year2019

Typearticle

Published2019-12-17

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations71

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jfineco.2019.12.005

openalex_workW2802579061

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