Sovereign credit default swaps
AbstractThis paper focuses on the sovereign segment of the credit default swap (CDS) market, examining data covering several years of quotes and trades from an important CDS inter-dealer broker. Compared to corporate or bank CDSs, sovereign CDSs are concentrated in fewer names and in contracts with reference assets of relatively short maturity, apparently a result of the fairly high proportion of low-rated sovereigns that tend to issue at short maturities. In addition, spreads on CDSs written on very low-rated sovereigns tend to be significantly wider than on those written on correspondingly low-rated corporates, consistent with the market being less sure about the consequences of sovereign default.
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Bibliographic InfoArticle provided by Bank for International Settlements in its journal BIS Quarterly Review.
Volume (Year): (2003)
Issue (Month): (December)
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- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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- Zinna, Gabriele, 2013. "Sovereign default risk premia: Evidence from the default swap market," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 15-35.
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Santa Cruz Department of Economics, Working Paper Series
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