Sovereign Risk and the Pricing of Corporate Credit Default Swaps
Journal
Journal of Credit Risk
ISSN
1744-6619
ISSN-Digital
1755-9723
Type
journal article
Date Issued
2015-03-20
Author(s)
Abstract
Based on an empirical analysis of European corporations, we investigate the impact of sover-eign risk on the pricing of corporate credit risk. In our paper, we show that sovereign credit default swaps (CDS) are positively correlated with corresponding corporate CDS spreads and are a significant factor for corporate CDS pricing models. We also find that this impact in-creases throughout the sovereign debt crisis in 2010-2011 and is more distinctive for Eurozone countries that were more exposed to the sovereign debt crisis than others. We further observe that this effect is particularly pronounced for corporations with a high dependency on their domestic market.
Language
English
Keywords
Credit Default Swaps
Pricing
Sovereign Risk
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Incisive Media
Publisher place
London
Volume
11
Number
1
Start page
1
End page
27
Pages
27
Subject(s)
Eprints ID
238607