Ang, Andrew; Longstaff, Francis A. - In: Journal of Monetary Economics 60 (2013) 5, pp. 493-510
We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major Eurozone countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is much less systemic...