In times of distress when a country loses access to markets, there is evidence that credit default swap (CDS) spreads are a leading indicator for sovereign risk than the EMBI+ sub-index for the country. However, it is not easy to discern the variables that determine the level of CDS spreads in...

In reduced-form pricing models, it is usual to assume a fixed recovery rate to obtain the probability of default from credit default swap prices. An alternative credit risk measure is proposed here: the maximum recovery rate compatible with observed prices. The analysis of the recent debt crisis...

Loan-Only Credit Default Swaps (LCDSs) are a new type of over-the-counter credit derivative that has emerged fairly recently. LCDSs share the purpose of Credit Default Swaps (CDSs) in that they allow trading the credit risk associated with some debt obligation. They have closed a gap that had...

This paper examines the direct relevance of accounting information for credit default swap (CDS) pricing. Prior research on the impact of accounting information for CDS pricing has neglected to include either the output of theoretical CDS pricing models or credit ratings, both of which should...

In this paper we take an innovative econometric look at the Euro Zone Sovereign Debt Crisis. We are particularly interested in understanding which determinants have led investors to ask for higher yields on sovereign debt from the Euro shatter belt. We dismiss the definition of speculation...

In CDO pricing, the cross-correlation coefficients play a significant role as it is the sole parameter used. Criticisms are levelled around two features of these correlation coefficients: a dependable data is not available to compute the correlation coefficients between reference obligors; and...