Badaoui, Saad; Cathcart, Lara; El-Jahel, Lina - In: Journal of Banking & Finance 37 (2013) 7, pp. 2392-2407
In this study, we use a factor model in order to decompose sovereign Credit Default Swaps (CDS) spreads into default, liquidity, systematic liquidity and correlation components. By calibrating the model to sovereign CDSs and bonds we are able to present a better decomposition and a more accurate...