This paper tests variants of the Black (1995) model for pricing the sovereign Credit Default Swaps (CDS) of Greece, Ireland, Portugal, Spain and Italy. The default intensity of each country is driven by two latent Gaussian factors. The model, which well fits observed CDS rates, can only be...

Past literature has shown that continuous time affine credit risk pricing models have appealing counterparts in discrete time, namely ARG and VARG0 models based on autoregressive Gamma processes that need no Feller conditions. This paper clarifies that ARG and VARG0 models are part of a wider...