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  • Markets & Economy

What Sovereign CDS Spreads Potentially Tell Us about Currency Risk

Currency risk is embedded within CDS prices; if a country defaults, the value of its currency is likely to drop, to the detriment of investors with CDS exposure to that currency. The recently widening gap between European sovereign CDS priced in EUR and those priced in USD may therefore herald rising distress for the European Union as a whole.

  • Markets & Economy

Technology is Shifting the Balance of Power to Asset Owners

The Information Age has transformed and brought spectacular advances to a wide range of industries, from medicine to transportation and beyond. Investment management has been by some measures slower to evolve, but it, too, is changing.

  • Markets & Economy

Credit-Implied Volatility

The pricing of corporate credit can be succinctly understood via the credit-implied volatility (CIV) surface.

  • Markets & Economy

Forecast Bias for US GDP

During the past five years, forecasters repeatedly have proffered overly optimistic forecasts for long-term growth and excessively pessimistic near-term forecasts

  • Markets & Economy

The Impact of Sovereign Shocks

The authors investigate the interrelationships between macro-systems of governments and financial institutions by studying the dynamic propagation mechanisms of macroeconomic shocks.