Credit Risk Premia in Sovereign Credit Default Swaps
Author | : Rob C. Sperna Weiland |
Publisher | : |
Total Pages | : 53 |
Release | : 2018 |
ISBN-10 | : OCLC:1304404320 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Credit Risk Premia in Sovereign Credit Default Swaps written by Rob C. Sperna Weiland and published by . This book was released on 2018 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, I analyze credit risk premia embedded in sovereign CDS spreads. In particular, I consider a heretofore largely ignored component that reflects the compensation investors demand for default event risk. I find that this default event risk premium is most heavily priced in short maturity CDS spreads of low-rated countries. Risk premia related to unpredictable variations in default risk, on the other hand, are more important for long maturity CDS spreads of high-rated countries. I show that differences in CDS decomposition across rating classes are mainly caused by differences in sovereign-specific risk rather than differences in exposure to systemic risk.