Short-term determinants of the idiosyncratic sovereign risk premium: a regime-dependent analysis for European credit default swaps

This study investigates the dynamics of the sovereign CDS term premium, i.e. difference between 10Y and 5Y CDS spreads. It can be regarded a forward-looking measure of idiosyncratic sovereign default risk as perceived by financial markets. For some European countries this premium featured distinct n...

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Bibliographic Details

Main Authors:	Giovanni Calice, RongHui Miao, Filip Sterba, Borek Vasicek
Format:	Default Article
Published:	2015
Subjects:	Other commerce, management, tourism and services not elsewhere classified Credit default swaps Markov switching model Sovereign risk State space model Term premium Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/20698
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