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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- Neziri, Hekuran, 2008. "Can Credit Default Swaps Predict Financial Crises: An Empirical Test on Emerging Markets," MPRA Paper 13096, University Library of Munich, Germany.
- Manmohan Singh & Jochen R. Andritzky, 2006. "The Pricing of Credit Default Swaps During Distress," IMF Working Papers 06/254, International Monetary Fund.
- Joshua Aizenman & Michael M. Hutchison & Yothin Jinjarak, 2011.
"What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk,"
NBER Working Papers
17407, National Bureau of Economic Research, Inc.
- Aizenman, Joshua & Hutchison, Michael & Jinjarak, Yothin, 2013. "What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk," Journal of International Money and Finance, Elsevier, vol. 34(C), pages 37-59.
- Aizenman, Joshua & Hutchison, Michael & Jinjarak, Yothin, 2011. "What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk," Santa Cruz Department of Economics, Working Paper Series qt2914v9fh, Department of Economics, UC Santa Cruz.
- Franck Packer & Haibin Zhu, 2005. "Contractual terms and CDS pricing," BIS Quarterly Review, Bank for International Settlements, March.
- Batchimeg Sambalaibat, 2012. "Credit Default Swaps and Sovereign Debt with Moral Hazard and Debt Renegotiation," 2012 Meeting Papers 1093, Society for Economic Dynamics.
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