This paper investigates the role of countries' environmental, social and governance (ESG) performance in sovereign CDS markets. Based on data for 60 countries from 2007 to 2017, we find that with superior ESG show (i) lower credit default swap (CDS) spreads (ii) flatter implied curves. implies a risk mitigation effect which is even more pronounced long term than short term. These results remain...

In this note the pricing of options on credit default swaps using the survival-measure-pricing technique is discussed. In particular, we derive a modification of the famous Black (1976) futures pricing formula which applies to options on CDS, and show how other pricing formulae can be easily derived if the dynamics of the forward CDS rates are specified differently. The main tool in the derivat...

This paper estimates the degree of variation over time in the price for bearing exposure to U.S. corporate default risk during 2000-2004, based on the relationship between default probabilities, as estimated by Moody’s KMV EDFs, and default swap (CDS) market rates. The default-swap data, obtained through CIBC from 39 banks and specialty dealers, allow us to establish a strong link between actua...

Turkey faces increasing CDS (Credit Default Swap) spreads. The level of spreads shows the riskiness a country in terms credit default and countries can’t attract high foreign investment inflows when are high. In this context, need to identify influential factors order decrease study, ten independent variables classified global, macro, market analyzed using monthly data between January 2004 Dece...

We investigate the interdependence of the default risk of several Eurozone countries (France, Germany, Italy, Ireland, Netherlands, Portugal, Spain) and their domestic banks during the period June 2007 May 2010, using daily credit default swaps (CDS). Bank bailout programs changed the composition of both banks’ and sovereign balance sheets and, moreover, affected the linkage between the default...

This paper studies the relationship between credit default swap spreads (CDS) for the Energy sector and oil futures dynamics. Using data on light sweet crude oil futures from 2004 to 2013, which contains a crisis period, we examine the importance of volatility and jumps extracted from the futures in explaining CDS spread changes. The analysis is performed at an index level and by rating group; ...

We investigate whether riskier European countries compensate their debtholders properly by paying sufficiently higher bond yields than those of safer countries, during and after the sovereign debt crisis 2010–2012. Using relative pricing between credit default swap (CDS) spreads yields, we show that an inconsistent cross-sectional relationship risk emerges period for all countries. However, ann...

The market for credit default swaps (CDS) has experienced explosive growth in the past. Credit default swaps have existed since the early 1990s and the market increased tremendously starting in 2003. By the end of 2007, the outstanding amount was $62.2 trillion, falling to $38.6 trillion by the end of 2008. The recent crisis has revealed several shortcomings in CDS market practices and structur...