Short-term determinants of the idiosyncratic sovereign risk premium: a regime-dependent analysis for European credit default swaps
This study investigates the dynamics of the sovereign CDS term premium, i.e. difference between 10Y and 5Y CDS spreads. It can be regarded a forward-looking measure of idiosyncratic sovereign default risk as perceived by financial markets. For some European countries this premium featured distinct n...
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Main Authors: | , , , |
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Format: | Default Article |
Published: |
2015
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Subjects: | |
Online Access: | https://hdl.handle.net/2134/20698 |
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