We analyse the extent to which prices in the sovereign credit default swap (CDS) and bond markets reflect the same information on credit risk in the context of the European Monetary Union. The empirical analysis is based on the theoretical equivalence relation that should hold between the CDS...

We analyse the extent to which prices in the sovereign credit default swap (CDS) and bond markets reflect the same information on credit risk in the context of the European Monetary Union. The empirical analysis is based on the theoretical equivalence relation that should hold between the CDS...

This document analyses the credit default swap (CDS) market, paying special attention to the main problems affecting the operation of this market and the various regulatory initiatives recently set in motion. With regard to the structure of this OTC (over the counter) market, the supply is...