Sovereign Credit Default Swap Premia
Forthcoming, Journal of Investment Management
53 Pages Posted: 9 May 2012 Last revised: 28 May 2018
Date Written: January 12, 2014
This paper reviews the young but rapidly growing literature on sovereign credit default swap premia. A discussion of current debates in the academic and popular press hopefully raises thought-provoking questions with valuable insights for academics, policymakers and practitioners alike. The main elements of the review relate to the determinants of sovereign CDS spreads, spillovers and contagion, frictions, the relationship to and impact on public bonds, as well as trading in the market for sovereign credit derivatives. In addition, I describe key statistical and stylized facts about prices, the market and its players.
Keywords: Credit Default Swap Spreads, Default Risk, Descriptive Statistics, Literature Review, Sovereign Debt, Term structure
JEL Classification: A31, F34, G01, G1, O57
Suggested Citation: Suggested Citation