Bibliographie

 

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R. Blamco, S. Brennan et I. Marsh (2005), «An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps », The Journal of Finance 60, 2255-2281.

E. Boehmer et W.L. Megginson (1990), « Determinants of Secondary Market Prices for Developing Country Syndicated Loans », Journal of Finance 45, 1517-1540.

W. Bühler et M. Trapp (2008), « Explaining the Bond-CDS Basis – The Role of Credit Risk and Liquidity ».

C.-H. Campani et F. Goltz (2011), « Constructing Reliable Corporate Bond Indices: Empirical Tests of a New Weighting Scheme that Controls Interest Rate and Credit Risk Exposures ».

D. Duffie, L.H. Pedersen et K.J. Singleton (2003), « Modeling Sovereign Yield Spreads: A Case Study of Russian Debt », Journal of Finance 58, 119-159.

S. Edwards (1984), « LDC Foreign Borrowing and Default Risk: An Empirical Investigation, 1976-80 », American Economic Review 74, 726-734.

S. Edwards (1986), « The Pricing of Bonds and Bank Loans in International Markets: An Empirical Analysis of Developing Countries’ Foreign Borrowing », European Economic Review 30, 565-589.

S. Edwards (2002), « The Argentine Debt Crisis of 2001-2002: A Chronology and Some Key Policy Issues », Working paper, UCLA.

B. Eichengreen et A. Mody (2000), « What Explains Changing Spreads on Emerging-Market Debt? », in S. Edwards (ed.) The Economics of International Capital Flows, University of Chicago Press, Chicago (IL).

E. Elton, M. Gruber, D. Agrawal et C. Mann (2001), « Explaining the rate spread on corporate bonds », Journal of Finance 56, 247-277.

J. Hull, M. Predescu et A. White, 2004), « The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements », Journal of Banking and Finance 28, 2789-2811.

S. Kamin et K. von Kleist (1999), « The Evolution and Determinants of Emerging Market Credit Spreads in the 1990s », Working paper n° 68, Bank for International Settlements.

F. Longstaff, S. Mithal et E. Neis (2005), « Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market », Journal of Finance 60, 2213- 2254.

F.A. Longstaff, J. Pan, L.H. Pedersen et K.J. Singleton (2011), « How Sovereign is Sovereign Credit Risk? », American Economic Journal: Macroeconomics, forthcoming.

J. Pan et K.J. Singleton (2008), « Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads », Journal of Finance 63, 2345-2384.

M. Peter et M. Grandes (2005), « How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa », IMF Working Paper.

D. O’Kane (2012), « The Link between Eurozone Sovereign Debt and CDS Prices », Edhec Working Paper.

E. Remolona,  M. Scatigna et E. Wu (2007), « Interpreting Sovereign Spreads », BIS Quarterly Review, March 2007.

E. Remolona, M. Scatigna et E. Wu (2008), « The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion », The Journal of Fixed Income 17, 57-71.

T. Roncalli,  B. Bruder et P. Hereil (2011), « Managing Sovereign Credit Risk in Bond Portfolios ». Voir également B. Bruder, P. Hereil et T. Roncalli (2011), « Managing Sovereign Credit Risk », Journal of Indexes Europe, 1, November/December 2011.

Martin Rozada et Eduardo Yeyati (2005), « Global Factors and Emerging Market Spreads », Working paper, Universidad Torcuato Di Tella.

L. B. Siegel (2003), « Benchmarks and investment management », The Research Foundation of the Association for Investment Management and Research, Charlottesville, Virginia.

L. B. Siegel, F. J. Enderle et B. Pope (2003), « Broad-capitalization indexes of the U.S. equity market », Journal of Investing 12 (1): 11-22.

A. Winkler (2011), « The Joint Production of Confidence: Lessons from Nineteenth Century U.S. Commercial Banks for Twenty First Century Euro Area Governments », Working paper, Frankfurt School of Finance and Management.

F.X. Zhang (2003), « What did the Credit Market Expect of Argentina Default? Evidence from Default Swap Data », Working paper, Federal Reserve Board.