Decomposing European CDS Returns
By Antje Berndt, Iulian Obreja. 2010
151 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/e37ba12579c7a4202269f9da4bdb6b0fd2e7daa3
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In Finance
- Mascia Bedendo
- María Rodríguez-Moreno
- Juan Ignacio Peña
- Paolo Colla
- Martin Scheicher
- Tuomas A. Peltonen
Citations in the corpus
- The Network Structure of the CDS Market and its Determinants (2014, background): “For example, the determinants of CDS spread changes have been extensively studied both for CDS per se (Berndt and Obreja, 2010) or jointly with other market data such as bond spreads (see 5 Fontana and Scheicher, 2010 and references therein).”
- Systemic Risk Measures: The Simpler the Better? (2013, methodology): “Using a similar approach, Berndt and Obreja (2010) study the CDS returns of all public European firms with active CDS and find that the first factor captures 53% of the total variance.”
- Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets (2015, unknown): “V p t,t′ − V p t′,t′ PV (πn,t) = V ref t′,t′ − V ref t,t′ PV (πn,t) (4)”
- The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil (2014, unknown): “Berndt and Obreja (2010) study the determinants of European corporate CDS returns and identify as one of the main common factors the super-senior tranche of the iTraxx Europe index, referred to as “the economic catastrophe risk”.”
- What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk (2011, unknown): “In explaining recent developments, Berndt and Obreja (2010) suggest that “economic catastrophe risk” rose sharply in 2007-08 pushing up CDS spreads.”
- Credit Spread Interdependencies of European States and Banks During the Financial Crisis (2012, unknown): “Berndt and Obreja (2010) study the factors for European corporate CDS and identify the common factor, that explains around 50% of the variation, as the super-senior tranche of the iTraxx Europe index.”
- Sovereign and corporate credit risk: Evidence from the Eurozone (2015, methodology): “To avoid bias due to missing or stale data, we apply a number of filters in line with the existing literature (Berndt and Obreja (2010), Schneider, Sögner, and Veza (2010)).”