6533b855fe1ef96bd12b06f7
RESEARCH PRODUCT
Is There a Credit Risk Anomaly in FX Markets?
Jari-pekka HeinonenKlaus GrobysKlaus Grobyssubject
Credit default swap indexCredit historyeducationSovereign creditEconomicsFinancial risk managementCredit derivativeCredit crunchFinancial systemCredit valuation adjustmenthumanitieshealth care economics and organizationsCredit riskdescription
This paper explores whether a link between sovereign credit ratings and currency returns exists. Perhaps contrary to expectations, it finds that currencies of countries with higher credit risk tend to generate lower returns than those with a lower credit risk. The credit risk spread cannot be explained by standard risk factors.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2015-01-01 | SSRN Electronic Journal |