Header and navigation menu

Page content

Spread the foreign redenomination risk to default premia: dynamic frequency connectedness analysis

We investigate how a correct decomposition of the credit default swap (CDS) quote into redenomination and default risks allows us to explore effectively the dynamic interconnections between such noteworthy events in four countries in the Euro area. We employ daily CDS data denominated in different currencies and default clauses from November 2015 to September 2023.  […]