Sovereign bond spreads and CDS premia in the Eurozone: A causality analysis || Diferenciales de bonos soberanos y primas de CDS en la zona euro: un análisis de causalidad

Sovereign bond spreads and CDS premia in the Eurozone: A causality analysis || Diferenciales de bonos soberanos y primas de CDS en la zona euro: un análisis de causalidad

This article presents an analysis of the possible relationship between the spreads of sovereign bonds and the premia of credit default swaps (CDS) to determine whether they are useful tools for the measurement of the sovereign risk either separately or by taking into account the joint evolution of t...

Full description

Bibliographic Details
Main Authors: Téllez Valle, Cecilia, Martín García, Margarita, Ramón-Jerónimo, María A., Martín Marín, José Luis
Format: Article
Language:English
Published: Universidad Pablo de Olavide 2020-12-01
Series:Revista de Métodos Cuantitativos para la Economía y la Empresa
Subjects:
sovereign risk
credit risk
cds
causality
riesgo soberano
riesgo de crédito
causalidad
Online Access:https://www.upo.es/revistas/index.php/RevMetCuant/article/view/3872/4577

Similar Items

Similar Items