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Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads
16 references·3 citing·42 second hop
Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads (2019)Sovereign credit risk and exchange rates:…Deviations from Covered Interest Rate Parity (2018)Deviations from Covered Inter…Local Currency Sovereign Risk (2016)Local Currency Sovereign RiskSystemic sovereign credit risk: Lessons from the U.S. and Europe (2013)Systemic sovereign credit ris…How Sovereign Is Sovereign Credit Risk? (2011)How Sovereign Is Sovereign Cr…The reaction of emerging market credit default swap spreads to sovereign credit rating changes (2010)The reaction of emerging mark…Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)Default and Recovery Implicit…Decomposing swap spreads (2008)Decomposing swap spreadsAutoregressive gamma processes (2006)Autoregressive gamma processesIs Default Event Risk Priced in Corporate Bonds? (2004)Is Default Event Risk Priced …Credit Risk Modeling (2004)Credit Risk ModelingModeling Sovereign Yield Spreads: A Case Study of Russian Debt (2003)Modeling Sovereign Yield Spre…Credit Risk : Pricing, Measurement, and Management (2003)Credit Risk : Pricing, Measur…Default, Currency Crises, and Sovereign Credit Ratings (2002)Default, Currency Crises, and…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…A Model of Balance-of-Payments Crises (1979)A Model of Balance-of-Payment…Financial heterogeneity and monetary union (2023)Financial heterogeneity and m…The real effects of exchange rate risk on corporate investment: International evidence (2021)The real effects of exchange …Spillover Effects from the Volkswagen Emissions Scandal: An Analysis of Stock and Corporate Bond Markets (2021)Spillover Effects from the Vo…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)The pricing of commodity contracts (1976)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Carry Trades and Currency Crashes (2008)Carry Trades and Currency Crashes (2008)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)Debt with Potential Repudiation: Theoretical and Empirical Analysis (1981)Market Liquidity and Funding Liquidity (2008)Evaporating Liquidity (2012)International Channels of Transmission of Monetary Policy and the Mundellian Trilemma (2016)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Agency Costs, Net Worth, And Business Fluctuations (1988)The Limits of Arbitrage (1995)When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020)Exchange Rate Disconnect in General Equilibrium (2021)Foreign Safe Asset Demand and the Dollar Exchange Rate (2021)Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)Stochastic Integration and Differential Equations (2005)Do Regulations Based on Credit Ratings Affect a Firm's Cost of Capital? (2010)An equilibrium characterization of the term structure (1977)Stochastic Differential Equations and Diffusion Processes (1983)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Basel Committee On Banking Supervision (2010)Financial Ratios As Predictors of Failure (1966)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)From failure to failure: The politics of international banking regulation (2011)Transnational regulatory capture? An empirical examination of the transnational lobbying of the Basel Committee on Banking Supervision (2012)Currency crashes in emerging markets: An empirical treatment (1996)Leading Indicators of Currency Crises (1998)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)How Profitable Is Capital Structure Arbitrage? (2006)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Safer ratios, riskier portfolios: Banks׳ response to government aid (2014)Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010)Regulatory pressure and fire sales in the corporate bond market (2011)
this work references cited by second hop

References

  • 1979A Model of Balance-of-Payments Crises2,927 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
  • 2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads805 cited
  • 2018Deviations from Covered Interest Rate Parity722 cited
  • 2003Credit Risk : Pricing, Measurement, and Management587 cited
  • 2004Is Default Event Risk Priced in Corporate Bonds?566 cited
  • 2004Credit Risk Modeling530 cited
  • 2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt381 cited
  • 2013Systemic sovereign credit risk: Lessons from the U.S. and Europe373 cited
  • 2002Default, Currency Crises, and Sovereign Credit Ratings360 cited
  • 2010The reaction of emerging market credit default swap spreads to sovereign credit rating changes293 cited
  • 2008Decomposing swap spreads277 cited
  • 2016Local Currency Sovereign Risk214 cited
  • 2006Autoregressive gamma processes211 cited

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Cited by

  • 2021Spillover Effects from the Volkswagen Emissions Scandal: An Analysis of Stock and Corporate Bond Markets43 cited
  • 2021The real effects of exchange rate risk on corporate investment: International evidence35 cited
  • 2023Financial heterogeneity and monetary union14 cited