Pricing of Sovereign Credit Risk: Evidence from Advanced Economies During the Financial Crisis

WP/12/24

Pricing of Sovereign Credit Risk: Evidence from Advanced Economies During the Financial Crisis
We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market arbitrage relationship between the cash (RAS) and... READ MORE...

Publication date: January 2012
ISBN 9781463931865
$18.00

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Publication date: January 2012

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Publication date: January 2012

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