Sovereign Credit Default Swap Premia
Posted: 26 Jul 2012
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
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