LQG 2024/02/13 – 18:30 – Sovereign Credit Default Swaps and the Currency Forward Bias – Giovanni Calice – at BlackRock – IP *OLO* Hybrid

Sovereign Credit Default Swaps and the Currency Forward Bias

Seminar by Giovanni Calice

2024/02/13 – In-Person and On-Line – Hybrid!

The LQG is very grateful to BlackRock – for hosting this in-person and on-line hybrid LQG.

In this seminar Dr. Calice will discuss his work with co-author Ming-Tsung Lin on the links between sovereign credit risk and the currency forward bias. In a setting of defaultable sovereign bonds, they show that the forward bias can be negatively linked to sovereign credit risk. They confirm empirically that the forward bias is negatively associated to sovereign CDS spreads and systematically across both developed and emerging countries but the effect is more pronounced for emerging countries. Furthermore, they show that the forward bias decreases after the inception of the sovereign CDS market. Overall, their results underscore the distinct role of the sovereign CDS market in enhancing price efficiency in currency forward and spot markets.


Giovanni Calice

Professor of Banking & Economics at Bangor Business School

Giovanni Calice is Professor of Banking & Economics at Bangor Business School. He previously taught (as tenured faculty member) at the University of Birmingham, Loughborough University and at the University of Southampton.
He has spent time as a visiting scholar and consultant at public institutions and central banks, including the Federal Reserve Bank of Atlanta, the European Central Bank, the European Commission, the Banque de France and the Bank of Finland.
He has been a visiting professor at New York University, Stern School of Business, the University of Oxford, the University of Cambridge, Durham University, the Australian National University, City University of Hong Kong, Shanghai Advance Institute of Finance, University of International Business and Economics Beijing, Southwestern University of Finance and Economics, Singapore National University and the Einaudi Institute for Economics and Finance.
Giovanni has written extensively on systemic risk and is a leading expert on credit derivatives markets. His work has been published in leading academic journals in finance and economics.
He is a regular speaker at university, practitioner seminars and international conferences and has been invited by macroprudential and regulatory authorities (such as the IMF, the BIS, the Federal Reserve Bank of New York, and the ECB) to present his research and perspective on financial stability risks and policy issues. His research has also been profiled in the IMF and OECD publications and prestigious international newspapers such as the Financial Times. In addition, versions of his work have also been published in the working papers series of many central banks around the world as well as presented in support of written evidence to the United Kingdom House of Lords Select Treasury Committee on “Credit Default Swaps and Short Selling”.