Giovanni Calice

Loughborough University

Ashby Road

Loughborough, LE11 3TU

Great Britain

SCHOLARLY PAPERS

11

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29

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6

Scholarly Papers (11)

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Number of pages: 64 Posted: 13 Aug 2009
Christos Ioannidis, Julian M. Williams and Giovanni Calice
University of Bath-Department of Economics, Durham Business School and Loughborough University
Downloads 282 (107,180)

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distance to default, credit derivatives, credit default swap index, financial stability

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Finlawmetrics 2010 Conference Paper
Number of pages: 64 Posted: 14 Jan 2010
Giovanni Calice, Christos Ioannidis and Julian M. Williams
Loughborough University, University of Bath-Department of Economics and Durham Business School
Downloads 190 (159,073)
Citation 1

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distance to default, credit derivatives, credit default swap index, financial stability

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Paolo Baffi Centre Research Paper No. 2009-75
Number of pages: 65 Posted: 21 Jul 2010 Last Revised: 13 Feb 2011
Giovanni Calice, Christos Ioannidis and Julian M. Williams
Loughborough University, University of Bath-Department of Economics and Durham Business School
Downloads 187 (161,435)
Citation 1

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distance to default, credit derivatives, credit default swap index, financial stability

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Number of pages: 54 Posted: 03 Mar 2011
Giovanni Calice, Christos Ioannides and Julian M. Williams
Loughborough University, University of Bath - Department of Economics and Durham Business School
Downloads 79 (310,276)

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distance to default, credit derivatives, credit default swap index, financial stability

2.

Credit Risk Transfer and the Forecasting of Bank Defaults

Number of pages: 61 Posted: 21 Mar 2009 Last Revised: 13 Jul 2009
Giovanni Calice, Christos Ioannidis and Julian M. Williams
Loughborough University, University of Bath-Department of Economics and Durham Business School
Downloads 501 (55,210)

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Banks, Distance to Default, Credit Derivatives, Mutlivariate Volatility

Liquidity Spillovers in Sovereign Bond and CDS Markets: An Analysis of The Eurozone Sovereign Debt Crisis

Paolo Baffi Centre Research Paper No. 2011-105
Number of pages: 48 Posted: 29 Jul 2011 Last Revised: 09 Oct 2017
Giovanni Calice, Jing Chen and Julian M. Williams
Loughborough University, Cardiff University - School of Mathematics and Durham Business School
Downloads 387 (74,895)
Citation 11

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credit derivatives, liquidity, sovereign bonds, credit spreads

Liquidity Spillovers in Sovereign Bond and CDs Markets: An Analysis of the Eurozone Sovereign Debt Crisis

Number of pages: 69 Posted: 20 Dec 2011 Last Revised: 21 Jan 2012
Giovanni Calice, Jing Chen and Julian M. Williams
Loughborough University, Cardiff University - School of Mathematics and Durham Business School
Downloads 97 (272,247)
Citation 1

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Credit Default Swaps, Liquidity, Sovereign Bonds, Credit Spreads

An Empirical Analysis of the Impact of the Credit Default Swap Index Market on Large Complex Financial Institutions

Number of pages: 48 Posted: 13 Aug 2009
Christos Ioannidis and Giovanni Calice
University of Bath-Department of Economics and Loughborough University
Downloads 206 (147,363)
Citation 1

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credit derivatives, credit default swap index, CDX, iTraxx, large complex financial institutions, equity returns, financial stability

An Empirical Analysis of the Impact of the Credit Default Swap Index Market on Large Complex Financial Institutions

Number of pages: 51 Posted: 21 Aug 2010
Christos Ioannidis and Giovanni Calice
University of Bath-Department of Economics and Loughborough University
Downloads 98 (270,452)
Citation 1

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credit derivatives, credit default swap index, CDX, iTraxx, large complex financial institutions, equity returns, financial stability

5.

Are There Benefits to Being Naked?

Number of pages: 54 Posted: 16 Jan 2011 Last Revised: 08 Feb 2011
Giovanni Calice, Jing Chen and Julian M. Williams
Loughborough University, Cardiff University - School of Mathematics and Durham Business School
Downloads 228 (133,963)

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Capital Structure Arbitrage, Credit Default Swaps, Portfolio Management

A Markov Switching Unobserved Component Analysis of the CDX Index Term Premium

Number of pages: 53 Posted: 27 May 2010 Last Revised: 20 Nov 2010
Giovanni Calice, Christos Ioannidis and Rong Hui Miao
Loughborough University, University of Bath-Department of Economics and University of Bath - Department of Economics
Downloads 82 (303,398)

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Credit Default Swap Index, Markov Switching, State-Space, Variance Decomposition

A Markov Switching Unobserved Component Analysis of the CDX Index Term Premium

Number of pages: 53 Posted: 16 Jan 2011 Last Revised: 21 Jan 2012
Giovanni Calice, Christos Ioannidis and Rong Hui Miao
Loughborough University, University of Bath-Department of Economics and University of Bath - Department of Economics
Downloads 51 (391,342)

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Credit Default Swap Index, Markov Switching, State-Space, Variance Decomposition

A Markov Switching Unobserved Component Analysis of the CDX Index Term Premium

Number of pages: 53 Posted: 03 Mar 2011
Giovanni Calice, Christos Ioannides and Rong Hui Miao
Loughborough University, University of Bath - Department of Economics and University of Bath - Department of Economics
Downloads 34 (459,828)

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Credit Default Swap Index, Markov Switching, State-Space, Variance Decomposition

7.

The Liquidity Impact of the Credit Default Swap Index Market on Large Complex Financial Institutions

Number of pages: 72 Posted: 03 Mar 2011
Giovanni Calice
Loughborough University
Downloads 127 (223,193)

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8.

Credit Derivates and the Default Risk of Large Complex Financial Institutions

CESifo Working Paper Series No. 3583
Number of pages: 46 Posted: 23 Sep 2011
Giovanni Calice, Christos Ioannidis and Julian M. Williams
Loughborough University, University of Bath-Department of Economics and Durham Business School
Downloads 121 (231,520)

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distance of default, credit derivatives, credit default swap index, financial stability

9.

The Subprime Asset-Backed Securities Market and the Equity Prices of Large Complex Financial Institutions

Number of pages: 61 Posted: 03 Mar 2011
Giovanni Calice
Loughborough University
Downloads 114 (241,857)

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ABX index, subprime market, contagion. large complex financial institutions

10.

An Empirical Analysis of the Impact of the Credit Default Swap Index Market on Large Complex Financial Institutions

Number of pages: 51 Posted: 03 Mar 2011
Giovanni Calice and Christos Ioannides
Loughborough University and University of Bath - Department of Economics
Downloads 99 (266,750)

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11.

Short-Term Determinants of the Idiosyncratic Sovereign Risk Premium: A Regime-Dependent Analysis for European Credit Default Swaps

ECB Working Paper No. 1717
Number of pages: 58 Posted: 16 Aug 2014
Giovanni Calice, Rong Hui Miao, Filip Sterba and Borek Vasicek
Loughborough University, University of Bath - Department of Economics, RSJ Algorithmic Trading and Czech National Bank (CNB)
Downloads 44 (409,208)
Citation 1

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credit default swaps, Markov switching model, sovereign risk, State space model, term premium