Instability typically prompts investors to withdraw money. 8. Credit default swap (CDS) spread. The CDS spread is a market-based measure of a country’s level of default risk. For the countries ...

All else equal, a 100 basis points increase in the sovereign CDS spread leads to an increase in corporate CDS spreads by 71 basis points. (2) The sovereign-corporate relation varies across ...

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The market moves will cheer funds betting on a convergence in CDS spreads between the two Swiss lenders. If the merger completes as planned, the CDS committee will probably be asked to rule on whether ...

Notifications You must be signed in to change notification settings On the credit default swap market, a series of spreads with corresponding maturities can be obtained every business day. Let us ...

The forward credit spread of the underlying CDS is computed using pricing model for CDS and the counterparty risk is handled with default correlation model. Apart from pricing, the model can be ...

That widening meant funds betting on a CDS trigger may still have been able to make money from the trade – provided they were able to cash out when spreads peaked. The market reaction to the second ...

This analysis tests the price discovery relationship between sovereign CDS premia and bond yield spreads on the same reference entity. The theoretical no-arbitrage relationship between the two credit ...