Implied Liquidity Risk Premium in the Term Structure of Sovereign Credit Default Swap and Bond Spreads

Badaoui, Saad; Cathcart, Lara; El-Jahel, Lina

doi:10.2139/ssrn.2317966

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Sovereign Cds Spread As Credit Risk Measure Of the Country1

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“…It consists of the liquidity of the market, positions of traders and similar factors. Badaoui et al (2013) argue that liquidity risk can have a substantial impact on the level of CDS spreads. Despite it, CDS spreads serve as an appropriate measure of credit risk.…”

Section: Sovereign Cds Spread As Credit Risk Measure Of the Countrymentioning

confidence: 99%

Analysing Sovereign Credit Default Swaps of Baltic Countries

Kregždė

Murauskas

2015

Business: Theory and Practice

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The paper analyses development of the Baltic sovereign CDS market. The level of commonalities and differences in credit risk of the Baltic countries with regard to CDS spreads is investigated. We apply principal component analysis, regression analysis, correlation analysis methods and Granger causality test. Driving forces for changes of CDS spreads in the individual country are established. We discover that the main impact of CDS spread changes arrives from external sources. Our study reveals interdependence between CDS spreads of the Baltic countries and analyses a contagion effect of the change of CDS spreads.

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Section: Sovereign Cds Spread As Credit Risk Measure Of the Countrymentioning

confidence: 99%