Bang Nielsen, Andreas - 2018 - 1st edition
eurozone sovereign quanto spreads, i.e., di erences in credit default swap (CDS) premiums denominated in U.S. dollar and Euro … channels. The rst channel, currency crash risk, re ects the risk of an adverse jump in domestic versus foreign currency … triggered by default of the reference entity. Intuitively, currency crash risk causes the expected recovery payment to be …