The impact of the recent financial crisis on Eurozone sovereign credit default swap spreads

Research output: Working paper

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The impact of the recent financial crisis on Eurozone sovereign credit default swap spreads. / Zerilli, Paola Z; Baum, Christopher.

2012.

Research output: Working paper

Harvard

Zerilli, PZ & Baum, C 2012 'The impact of the recent financial crisis on Eurozone sovereign credit default swap spreads'.

APA

Zerilli, P. Z., & Baum, C. (2012). The impact of the recent financial crisis on Eurozone sovereign credit default swap spreads.

Vancouver

Zerilli PZ, Baum C. The impact of the recent financial crisis on Eurozone sovereign credit default swap spreads. 2012.

Author

Zerilli, Paola Z ; Baum, Christopher. / The impact of the recent financial crisis on Eurozone sovereign credit default swap spreads. 2012.

Bibtex - Download

@techreport{3d47dd46014b49f7a94c0516f5405de7,
title = "The impact of the recent financial crisis on Eurozone sovereign credit default swap spreads",
abstract = "This study evaluates the effects of the recent financial crisis on an important classof debt instruments: sovereign issues of Eurozone borrowers. Challenges to thestability of the Euro from threats of default by several Eurozone countries haveraised serious concerns and led to unprecedented policy responses. We proposeto study these effects by evaluating the risk premia embedded in sovereign creditdefault swap (CDS) spreads during periods of financial turmoil. These instrumentsprovide insurance to their buyers, payable in the event of default. Their spreadsover riskless instruments and spreads within the Eurozone CDS universe providedirect indications of market participants' valuation of risk associated with theunderlying sovereign debt. Our methodology estimates the frequency of defaultevents in order to analyse how perceptions of default risk have affected thedemand for insurance on short-term vs. long-term debt instruments.",
author = "Zerilli, {Paola Z} and Christopher Baum",
year = "2012",
language = "English",
type = "WorkingPaper",

}

RIS (suitable for import to EndNote) - Download

TY - UNPB

T1 - The impact of the recent financial crisis on Eurozone sovereign credit default swap spreads

AU - Zerilli, Paola Z

AU - Baum, Christopher

PY - 2012

Y1 - 2012

N2 - This study evaluates the effects of the recent financial crisis on an important classof debt instruments: sovereign issues of Eurozone borrowers. Challenges to thestability of the Euro from threats of default by several Eurozone countries haveraised serious concerns and led to unprecedented policy responses. We proposeto study these effects by evaluating the risk premia embedded in sovereign creditdefault swap (CDS) spreads during periods of financial turmoil. These instrumentsprovide insurance to their buyers, payable in the event of default. Their spreadsover riskless instruments and spreads within the Eurozone CDS universe providedirect indications of market participants' valuation of risk associated with theunderlying sovereign debt. Our methodology estimates the frequency of defaultevents in order to analyse how perceptions of default risk have affected thedemand for insurance on short-term vs. long-term debt instruments.

AB - This study evaluates the effects of the recent financial crisis on an important classof debt instruments: sovereign issues of Eurozone borrowers. Challenges to thestability of the Euro from threats of default by several Eurozone countries haveraised serious concerns and led to unprecedented policy responses. We proposeto study these effects by evaluating the risk premia embedded in sovereign creditdefault swap (CDS) spreads during periods of financial turmoil. These instrumentsprovide insurance to their buyers, payable in the event of default. Their spreadsover riskless instruments and spreads within the Eurozone CDS universe providedirect indications of market participants' valuation of risk associated with theunderlying sovereign debt. Our methodology estimates the frequency of defaultevents in order to analyse how perceptions of default risk have affected thedemand for insurance on short-term vs. long-term debt instruments.

M3 - Working paper

BT - The impact of the recent financial crisis on Eurozone sovereign credit default swap spreads

ER -