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Original Articles

Sovereign credit default swaps and the macroeconomy

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Pages 129-132 | Published online: 06 Jun 2011

References

  • Fabozzi, F. , Cheng, X. , and Chen, R.-R. , 2007. Exploring the components of credit risk in credit default swaps , Finance Research Letters 4 (2007), pp. 10–8.
  • Greatrex, C. , 2008. The credit default swap's market determinants, Fordham Discussion Paper 2008–06 . New York: Fordham University; 2008.
  • Ismailescu, I. , and Kazemi, H. , 2010. The reaction of emerging market credit default swap spreads to sovereign credit rating changes , Journal of Banking and Finance 34 (2010), pp. 2861–73.
  • Skinner, F. , and Diaz, A. , 2003. An empirical study of credit default swaps , Journal of Fixed Income 13 (2003), pp. 28–38.
  • Skinner, F. , and Townend, T. , 2002. An empirical analysis of credit default swaps , International Review of Financial Analysis 11 (2002), pp. 297–309.

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