Sovereign Credit Default Swap Premia

Posted: 26 Jul 2012

Multiple version iconThere are 2 versions of this paper

Date Written: July 2012


This paper provides a comprehensive overview of the young, but rapidly growing literature on sovereign credit default swap premia, describes key statistical and stylized facts about prices, the market, its players and related trading activities and attempts to raise some thought-provoking questions. We thereby hope to serve as a useful starting point for anyone interested in the topic.

Keywords: Credit Default Swap Spreads, Default Risk, Descriptive Statistics, Literature Review,, Sovereign Debt, Term structure

Suggested Citation

Augustin, Patrick, Sovereign Credit Default Swap Premia (July 2012). NYU Working Paper, Available at SSRN:

Patrick Augustin (Contact Author)

McGill University ( email )

1001 Sherbrooke St. W
Montreal, Quebec H3A 1G5

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