Sovereign Credit Default Swap Premia

Augustin, Patrick

doi:10.2139/ssrn.2055346

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Sovereign Credit Default Swap Premia

Forthcoming, Journal of Investment Management

53 Pages Posted: 9 May 2012 Last revised: 28 May 2018

See all articles by Patrick Augustin

Patrick Augustin

McGill University; McGill University, Desautels Faculty of Management

There are 2 versions of this paper

Date Written: January 12, 2014

Abstract

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

Augustin, Patrick and Augustin, Patrick, Sovereign Credit Default Swap Premia (January 12, 2014). Forthcoming, Journal of Investment Management, Available at SSRN: https://ssrn.com/abstract=2055346 or http://dx.doi.org/10.2139/ssrn.2055346