Credit derivative swap of the Greek market is a financial instrument the value of which is derived from an underlying … market value incorporating the credit risk of a bond or a loan. They are used to hedge, to speculate on the spreads through … arbitrage. The premium that is incorporated in the default swap, DS, is known as the credit derivative swap spread. The credit …

The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection … sellers for future changes in CDS spreads caused by unpredictable fluctuations in the reference entity's risk-neutral default … intensity. This paper defines and estimates a measure of the spread risk premium component in CDS spreads of a sample of …

This study analyzes the motives for and consequences of funds' credit default swap (CDS) investments using mutual funds …

We investigate whether the business cycle is an important determinant of credit default swap (CDS) spreads and estimate … the expected market risk premium as a proxy for the business cycle. Through portfolio regression, we find that structural … incorporating countercyclical risk for macroeconomic conditions can help explain the credit spread puzzle …

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 maturity CDS spreads of low-rated countries. Risk premia related to …

representative set of CBA countries. The results of the paper provide a view about the proper diagnostics of the sovereign risk and …