Disentangling the information content of government bonds and credit default swaps: An empirical analysis on sovereigns and banks
We propose a multi-factor Gaussian model to analyze the dynamicsof sovereign bond yields, as well as sovereign and banks CDS quotes. This paperhas three objectives (all of them with relevant implications from a supervisoryperspective): (1) disentangling the credit risk component of sovereign bonds f...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2016-12-01
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| Series: | Frontiers in Applied Mathematics and Statistics |
| Subjects: | |
| Online Access: | http://journal.frontiersin.org/Journal/10.3389/fams.2016.00022/full |