trading activity in the U.S. sovereign CDS market, and we infer a probability of default from CDS premiums. We find that … default risk reached 1% by the November 6 Presidential election, fell quickly after that, and progressively climbed back up in … subsequent months to the current 1.1% level. Overall, these estimates are well below the default risk estimates for the debt …

) similar default frequency, and (iv) comparable haircuts. A notable difference is that the average default duration is higher …

) similar default frequency, and (iv) comparable haircuts. A notable difference is that the average default duration is higher …

Using Credit Default Swaps (CDS) on sovereign bonds, we investigate whether US sovereign default risk is a greater … driving factor of domestic interbank funding risk than domestic sovereign default risk across the five Libor counties … risk. Our results show evidence of US sovereign default-risk spillover into global interbank funding markets and that …

This study investigates the determinants that drive the volatility of the credit default swaps (CDS) of BRICIT (Brazil …

similar default frequency, and (iv) comparable haircuts. A notable difference is that the average default duration is higher … for sovereigns. Furthermore, the time profile of bond returns and default events differs. One explanation is that the two …