We undertake a systematic study of the univariate and multivariate properties of CDS spreads using the CDS spread time series of CDX Investment Grade index constituents from 2005 to 2009. We find that CDS spread returns appear to be stationary and exhibit positive autocorrelations,...

In this paper, I analyze credit risk premia embedded in sovereign CDS spreads. In particular, I consider a heretofore largely ignored component that reflects the compensation investors demand for default event risk. I find that this default event risk premium is most heavily priced in short...

This paper presents a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface. The rapid development of the CDS market has provided convenient products to extract credit risk, and its interaction with equity volatility has been analyzed in...

This paper presents a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface for European countries during 2007-2012, a sample period covering both the Global Financial Crisis and the European debt crisis. We analyze to which extent...

The market evolution since the end of 2007 has been characterized by an increase of systemic risk and a high number of defaults. Realized recovery rates have been very dispersed and different from standard assumptions, while 60%-100% super-senior tranches on standard indices have started to...

With the recent development of the European debt crisis, traditional index bond management has been severely called into question. We focus here on the risk issues raised by the classical market-capitalization weighting scheme. We propose an approach to properly measure sovereign credit risk in...

The recent financial crisis had a substantial impact on equity and bond markets, as well as on the performances of managed portfolios which have been hit by the decrease of both indices. Nevertheless, the availability of indices monitoring the equity market volatility, the VIX index, credit...