Longstaff, Francis A.; Pan, Jun; Pedersen, Lasse H.; … - In: American Economic Journal: Macroeconomics 3 (2011) 2, pp. 75-103
We study the nature of sovereign credit risk using an extensive set of sovereign CDS data. We find that the majority of sovereign credit risk can be linked to global factors. A single principal component accounts for 64 percent of the variation in sovereign credit spreads. Furthermore, sovereign...
