Sovereign Credit Default Swap Premia

Posted: 26 Jul 2012

See all articles by Patrick Augustin

Patrick Augustin

McGill University, Desautels Faculty of Management

Multiple version iconThere are 2 versions of this paper

Date Written: July 2012

Abstract

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: https://ssrn.com/abstract=2117718

Patrick Augustin (Contact Author)

McGill University, Desautels Faculty of Management ( email )

1001 Sherbrooke Street West
Quebec
Montreal, Quebec H3A 1G5
Canada

HOME PAGE: http://www.patrickaugustin.se

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