Credit default swaps (CDS) have grown to be a multi-trillion-dollar, globally important
market. The academic literature on CDS has developed in parallel with the market practices …

We study the sources of corporate default clustering in the United States. We reject the
hypothesis that firms' default times are correlated only because their conditional default rates …

The 1987 market crash was associated with a dramatic and permanent steepening of the
implied volatility curve for equity index options, despite minimal changes in aggregate …

The shape of the term structure of credit default swap spreads is an informative signal about
the importance of global and domestic risk factors to the time variation of sovereign credit …

Sovereign credit default swap quanto spreads tell us how financial markets view the
interaction between a country's likelihood of default and associated currency devaluations …

The first Greek bailout on April 11, 2010 triggered a significant reevaluation of sovereign
credit risk across Europe. We exploit this event to examine the transmission of sovereign to …

This paper investigates the role of countries' environmental, social and governance (ESG)
performance in sovereign CDS markets. Based on data for 60 countries from 2007 to 2017 …

We provide new empirical evidence that US expected growth and consumption volatility are
closely related to the strong comovement in sovereign spreads. We rationalize these …

Understanding the global financial network for sovereign debt, particularly with a focus on
interaction and spillover effects of sovereign risk, has become important for policy makers as …

Using detailed loan holding data of Collateralized Loan Obligations (CLOs), we document
empirical evidence for the fire sale of leveraged loans due to leverage constraints on CLOs …