We show that existing metrics of CDS returns poorly approximate cash flow-based CDS returns. Given the complexities involved in computing CDS returns correctly, we provide a simple closed-form approximation that bears a correlation of no less than 99% with the true return series. Our work...

This paper provides a comprehensive overview of the young, but rapidly growing literature on sovereign credit default swap premia, describes key statistical and stylized facts about prices, the market, its players and related trading activities and attempts to raise some thought-provoking...

This paper reviews the young but rapidly growing literature on sovereign credit default swap premia. A discussion of current debates in the academic and popular press hopefully raises thought-provoking questions with valuable insights for academics, policymakers and practitioners alike. The main...