We disentangle U.S. credit spreads' evolution into two distinct parts resulting from market risk and default risk influences. We consider credit spreads (versus Treasury yields) as a credit risk proxy and S&P500 stock index as a market/systematic risk proxy. Such data allow for achieving a...

Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of corporate credit risk. In our paper, we show that sovereign credit default swaps (CDS) are positively correlated with corresponding corporate CDS spreads and are a significant...