Bang Nielsen, Andreas - 2018 - 1st edition
We investigate how currency denomination a ects the price of credit risky securities of the same issuer. We focus on … eurozone sovereign quanto spreads, i.e., di erences in credit default swap (CDS) premiums denominated in U.S. dollar and Euro …, including credit events and recovery rates. In order to understand which factors drive quanto spreads, we propose a no …