CDS Spreads and Systemic Risk - A Spatial Econometric Approach
نویسندگان
چکیده
منابع مشابه
CDS Spreads and Systemic Financial Risk∗
This paper investigates the information content of bond and Credit Default Swap prices of financial institutions for the measurement of systemic risk in the financial sector, defined as the probability that several institutions default. Because CDS contracts involve counterparty risk, this is reflected in their price, the spread paid to a dealer to insure against default. Then, the set of sprea...
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!1 -0.030 0.004 0.017 -0.022 -0.005 -0.052 0.047 !2 -0.029 0.004 0.018 -0.022 -0.005 -0.048 0.043 !3 -0.029 0.004 0.016 -0.021 -0.005 -0.043 0.038 !4 -0.028 0.003 0.017 -0.023 -0.005 -0.047 0.042 !5 -0.028 0.004 0.016 -0.020 -0.005 -0.046 0.041 !6 -0.027 0.004 0.016 -0.020 -0.003 -0.044 0.040 !7 -0.026 0.003 0.016 -0.022 -0.004 -0.042 0.038 !8 -0.026 0.003 0.016 -0.020 -0.005 -0.043 0.038 !9 -0...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2207625