Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk … trading. The first-ever credit event in a developed country's sovereign CDS has further highlighted the importance of the CDS … market from a macro-prudential perspective. Developments in the European sovereign CDS market are a part of the major …

This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and … integrated price discovery methodology on a rolling sample, with the intention to shed light on whether the CDS spreads can … trigger rises in bond spreads, and the relative efficiency of credit risk pricing in the CDS and bond markets. In addition, we …

We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market …, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the … sovereign CDS market, derive a law of motion for gross positions and their components, and identify the key factors that drive …

This paper examines sovereign ceiling violations (SCVs) in credit default swap (CDS) markets, whereby private sector … firms have lower CDS spreads relative to their sovereign counterparts with equal contractual terms. Using 5-year CDS spreads …