Artikel
Dependence structures between sovereign credit default swaps and global risk factors in BRICS countries
This study investigates the tail dependence structures of sovereign credit default swaps (CDSs) and three global risk factors in BRICS countries using a copula approach, which is popular for capturing the 'true' tail dependence based on the 'distribution-adjusted' joint marginals. The empirical results show that global market risk sentiment comoves with sovereign CDS spreads across BRICS countries under extreme market events such as the pandemic-induced crash of 2020, with Brazil reporting the highest bilateral convergence followed by China, Russia, and South Africa. Furthermore, oil price volatility is the second biggest risk factor correlated with CDS spreads for Brazil and South Africa, while exchange rate risk exhibits very low co-dependence with CDS spreads during extreme market downturns. On the contrary, exchange rate risk is the second largest risk factor co-moving with China and Russia's CDS spreads, while oil price volatility exhibits the lowest co-dependence with CDS in these countries. Between oil price and currency risk, evidence of single risk factor dominance is found for Russia, where exchange rate risk is largely dominant, and policymakers could promulgate financial sector regulations that mitigate spill-over risks such as targeted capital controls when markets are distressed.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 3 ; Pages: 1-22 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Specific Distributions; Specific Statistics
Financial Aspects of Economic Integration
Portfolio Choice; Investment Decisions
International Financial Markets
- Thema
-
global risk factors
credit default swaps
sovereign credit risk
copula approach
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Rikhotso, Prayer M.
Simo-Kengne, Beatrice D.
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2022
- DOI
-
doi:10.3390/jrfm15030109
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Rikhotso, Prayer M.
- Simo-Kengne, Beatrice D.
- MDPI
Entstanden
- 2022
Ähnliche Objekte (12)
Dependence structures of credit default swaps to common factors and underlying assets
Essays on credit default swaps
Credit default swaps und Informationsgehalt
Corporate diversification and dependence : valuation of multi-business firms and basket default swaps
Sovereign borrowing and sovereign default
Sovereign borrowing and sovereign default
Die Regulierung von Kreditderivaten : sovereign credit default swaps als Gegenstand nationaler und europäischer Rechtsetzung
Die Regulierung von Kreditderivaten : Sovereign Credit Default Swaps als Gegenstand nationaler und europäischer Rechtsetzung
Interest rate swaps and corporate default
Default swaps and hedging credit baskets
Default swaps and hedging credit baskets
Optimal sovereign default
Dependence structures of credit default swaps to common factors and underlying assets
Essays on credit default swaps
Credit default swaps und Informationsgehalt
Corporate diversification and dependence : valuation of multi-business firms and basket default swaps
Sovereign borrowing and sovereign default
Sovereign borrowing and sovereign default
Die Regulierung von Kreditderivaten : sovereign credit default swaps als Gegenstand nationaler und europäischer Rechtsetzung
Die Regulierung von Kreditderivaten : Sovereign Credit Default Swaps als Gegenstand nationaler und europäischer Rechtsetzung
Interest rate swaps and corporate default
Default swaps and hedging credit baskets
Default swaps and hedging credit baskets
Optimal sovereign default
Dependence structures of credit default swaps to common factors and underlying assets
Essays on credit default swaps
Credit default swaps und Informationsgehalt
Corporate diversification and dependence : valuation of multi-business firms and basket default swaps
Sovereign borrowing and sovereign default
Sovereign borrowing and sovereign default
Die Regulierung von Kreditderivaten : sovereign credit default swaps als Gegenstand nationaler und europäischer Rechtsetzung
Die Regulierung von Kreditderivaten : Sovereign Credit Default Swaps als Gegenstand nationaler und europäischer Rechtsetzung
Interest rate swaps and corporate default
Default swaps and hedging credit baskets
Default swaps and hedging credit baskets