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Risk aversion and risk premia in the CDS market

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Author Info
Jeffery D Amato
Abstract

Credit default swap (CDS) spreads compensate investors for expected loss, but they also contain risk premia because of investors' aversion to default risk. We estimate CDS risk premia and default risk aversion to have been highly volatile during 2002– 2005. Both measures appear to be related to fundamental macroeconomic factors, such as the stance of monetary policy, and technical market factors, such as issuance of collateralised debt obligations.

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Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2005)
Issue (Month): (December)
Pages:
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Handle: RePEc:bis:bisqtr:0512e

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Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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This page was last updated on 2008-4-29.

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