Practitioners in risk management are familiar with the use of the FHS (filtered historical simulation) to finding realistic simulations of security returns. This approach has become increasingly popular over the last fifteen years, as it is both flexible and reliable, and is now being accepted...

We investigate how currency denomination a ects the price of credit risky securities of the same issuer. We focus on eurozone sovereign quanto spreads, i.e., di erences in credit default swap (CDS) premiums denominated in U.S. dollar and Euro of the same reference entity. Quanto spreads of...