This paper looks into the sovereign credit default swap (CDS) market from two perspectives. First, it analyses the …

theoretical determinants of default risk and actual market premia using cross sectional regressions. These theoretical … determinants are variance risk premia, implied volatility and the riskless interest rate. We find that estimated coefficients for …. The explanatory power of the theoretical variables for levels of default swap premia is approximately 89%. The explanatory …

conclude that variance risk premia, volatility and the risk free rate are important determinants of credit default swap premia … prime du default swap est d'environ 89%. Le pouvoir explicatif sur les différences de prime est de 64%. La volatilité et la … PRV en eux-mêmes ont aussi un pouvoir explicatif substantiel pour la prime du credit default swap. Une analyse en …

This study explores the risk premia embedded in sovereign default swaps using a term structure model. The risk premia …. First, the risk premia contribution to the spreads decreases over the sample, 2003-2007, and rebounds at the start of the … "credit crunch." Second, the daily risk premia co-move with US macro news and corporate default risk. Third, global factors …