Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe

By Andrew Ang, Francis A. Longstaff. 2013

458 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/c4dc4caf3e0f00eb3d0327fe98f8eb1e0c2807ba

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Citations in the corpus

Spread the news: The impact of news on the European sovereign bond markets during the crisis (2013, background): “(2012) and Ang and Longstaff (2012). These contributions mostly deal with the effects of credit risk and liquidity on yields or yield spreads. A notable contribution to this final strand of the literature, which is closer in spirit to our paper, is Mohl and Sondermann (2013). They construct a datase”
Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022, background): “…default swap (CDS) spreads to measure credit risk.3 The existence of a factor structure in the cross-section of CDS spreads has been documented by Pan and Singleton (2008), Longstaff, Pan, Pedersen and Singleton (2011), Fender, Hayo and Neuenkirch (2012) and Ang and Longstaff (2013), among others.”
The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil (2014, unknown): “Similar, by analysing sovereign CDS spreads in the US and Europe, Ang and Longstaff (2011) show that systemic sovereign risk is more related to financial markets than to countryspecific macro-characteristics. Beirne and Fratzscher (2012) find evidence for “wake-up call” contagion, suggesting that gl”
The Term Structure of Interbank Risk (2012, background): “21This assumption is made in several papers, including Longstaff, Mithal, and Neis (2005), Blanco, Brennan, and Marsh (2005), Beber, Brandt, and Kavajecz (2009), and Ang and Longstaff (2011).”
Transmission channels of systemic risk and contagion in the European financial network (2015, background): “…our study relates to the vast literature on macro-prudential policies, the nature of systemic risk, and the spread of contagion in the banking industry developed by Allen and Gale (2004), Allen et al. (2009), Co-Pierre (2013), Drehmann and Tarashev (2013), Ang and Longstaff (2013), among others.”
Fiscal Federalism: US History for Architects of Europe's Fiscal Union (2012, unknown): “By 1943, the majority of defaulting issues were refinanced and the state returned to good standing in debt markets (Ang and Longstaff 2011).”
Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2018, background): “This is consistent with results for systemic sovereign default risk in the U.S. and Europe reported in Ang and Longstaff (2013) and Lucas, Schwaab, and Zhang (2014).”
Systemic Risk, Sovereign Yields and Bank Exposures in the Euro Crisis (2014, background): “Second, the variance decomposition for CDS premia indicates that common risk is important for all eurozone countries, but that its role differs greatly across countries, in line with what is found by Ang and Longstaff (2013) with a different methodology.”
Conditional Euro Area Sovereign Default Risk (2014, unknown): “We take a pure time-series perspective instead of assuming a specific pricing model as in Longstaff et al. (2011) or Ang and Longstaff (2011).”
Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models (2016, methodology): “For instance, by employing an asset pricing model, Ang and Longstaff (2013) investigate the differences between U.S. and European credit default swap (CDS) spreads as a reflection of systemic risk.”