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Jelena Paunović

References Buetow, G.W., Fabozzi, F. J. (2001) Valuation of interest rate swaps and swaptions . New Hope, Pa.: Frank J. Fabozzi. Howard, C. (2012) Interest Rate Swaps and Other Derivatives . New York: Columbia Business School. Marshall, J. F., Kapner, K.R. (1993) Understanding Swaps. New York; Chichester: Wiley. McDougall, A. (1999) Mastering Swaps Markets: a stepby- step guide to the products, applications and risks . London: Financial Times. Price, J., Henderson, S

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Edyta Brzychczy

. Jajuga K., Jajuga T., 2007 - Inwestycje. Instrumenty finansowe, aktywa niefinansowe, ryzyko finansowe, inżynieria finansowa. Wydawnictwo Naukowe PWN, Warszawa. James T., 2003 - EnergyPriceRisk. Wyd. Palgrave. Leszczyńska E., 2007 - Rynek kontraktów swap w Polsce. Wydawnictwo Narodowy Bank Polski. Magda R., 2010 - Kontrakty terminowe w handlu węglem kamiennym na przykładzie nowojorskiej giełdy NYMEX. Przegląd Górniczy, t. 66, nr 9. McDougall A., 2001 - Swapy. Oficyna

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Phan The Cong and Le Thi Ngoc Phuong

requirements reduce risks in banking?” Journal of Banking & Finance, Vol.23, pp.755-771. Bris, A., I. Welch, and N. Zhu (2006) “The costs of bankruptcy: Chapter 7 Liquidation versus Chapter 11 Reorganization.” Journal of Finance, Vol.61, No.3, pp.1253-1303. Dickinson, E. (2008) “Credit default swaps: so dear to us, so dangerous” (online). Available at: http://ssrn.com/abstract=1315535 (Accessed on: 15 Jun. 2010). Fitch Ratings (2009) “Global credit derivatives survey: surprises, challenges and the future.” Credit Policy

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Indranarain Ramlall

Abstract

This study innovates from prior research which focuses on the determinants of sovereign ratings and credit default swap spreads for a large sample of countries by incorporating the quality of central banks, let alone refined proxies. Findings show that the explanatory power of both sovereign ratings and CDS spreads model improve by a hefty 11 percent in case of sovereign ratings and 6 to 9 percent in the case of CDS spreads when central bank quality is incorporated. Such a finding bolters the notion that institutional quality does play a preponderant role when it comes to assessing country risk, making it a systematic component of institutional quality. The effect of labour participation implies that countries buffeted by stronger effects of an ageing population have greater propensity of increases in CDS spreads. Evidence is also found as to the driving dynamics of CDS spreads and sovereign ratings to be distinct. Our results hold robust post tackling for endogeneity problem.

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Eugene Balashov, Natalya Buchkina, Elena Rizhiya and Csilla Farkas

its relationships with surface albedo and and soil thermal parameters over the Loess Plateu. Advances Atmos. Sci., 26, 692-700. Hergoualc'hK.,HarmandJ.-M.,Cannavo P., Skiba U., Oliver R., and Henault C., 2009. The utility of process-based models for simulating N2Oemissions from soils:Acase study based on Costa-Rican coffee plantations. Soil Biol. Biochem., 41, 2343-2355. Jiang J., Feng S., Huo Z., Zhao Z., and Jia B., 2011. Application of the SWAP model to simulate water-salt transport under deficit irrigation with saline water. Math

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France Križanič and Žan Jan Oplotnik

REFERENCES Ang A., Longstaff F.A. (2012). Systemic Sovereign Credit Risk: Lessons From the U.S. and Europe . NBER Working Paper. http://www.nber.org/papers/w16982 . pp. 1-38. Duffie, D. (1999). Credit Swap Valuation . Financial Analysts Journal. vol.55, no.01, pp. 73-78, http://dx.doi.org/10.2469/faj.v55.n1.2243 Fontana A., Scheicher M. (2010). An Analysis of the Euro Area Sovereign CDS and Their Relation with Government Bonds . ECB Working paper. No. 1271, December 2010. pp. 1-44. Granger C. W. J. (1969). Investigating Causal

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Szilveszter Csorba, Andrea Raveloson, Eszter Tóth, Viliam Nagy and Csilla Farkas

References Bennett, S.J., Bishop, T.F.A., Vervoort, R.W., 2013. Using SWAP to quantify space and time related uncertainty in deep drainage model estimates: A case study from nothern NSW, Australia. Agricultural Water Management, 130, 142-153. Boesten, J.J.T.I., Stroosnijder, L., 1986. Simple model for daily evaporation from fallow tilled soil under spring conditions in a temperate climate. Neth. J. Agric. Sci., 34, 75-90. Cseuz, L., Pauk, J., Kertész, Z., Matuz, J., Fónad, P., Tari, I., Erdei, L., 2002. Wheat

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Cathy Yi-Hsuan Chen and Wolfgang Karl Härdle

Finance (Härdle, Chen, Overbeck eds) Springer Verlag, ISBN 978-3-662-54486-0. SEC ruling. (2017). https://www.sec.gov/rules/sro/batsbzx/2017/34-80206.pdf . Xiu, X., Chen, C.Y.H., Härdle, W.K. (2017). Dynamic credit default swaps curves in a network topology SFB 649 DP 2016-059. Zhu, X., Wang, W., Wang, H.S., Härdle, W.K. (2017). Network Quantile Autoregression J of Econometrics, submitted SFB DP 2016-050.

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Yeugeniy M. Gusev and Olga N. Nasonova

.) Gusev, E.M., Nasonova, O.N., 2013. A technique for scenario prediction of changes in water balance components in northern river basins in the context of possible climate change. Water Resour., 40, 4, 426-440. Gusev, E.M., Nasonova, O.N., Dzhogan, L.Y., 2006a. The simulation of runoff from small catchments in the permafrost zone by the SWAP model. Water Resour., 33, 2, 115-126. Gusev, E.M., Nasonova, O.N., Kovalev, E.E., 2006b. Modeling the components of heat and water balance for the land surface of the globe. Water Resour., 33, 6, 616