| Item Type |
Journal paper
|
| Abstract |
Based on an empirical analysis of European corporations, we investigate the impact of sover-eign risk on the pricing of corporate credit risk. In our paper, we show that sovereign credit default swaps (CDS) are positively correlated with corresponding corporate CDS spreads and are a significant factor for corporate CDS pricing models. We also find that this impact in-creases throughout the sovereign debt crisis in 2010-2011 and is more distinctive for Eurozone countries that were more exposed to the sovereign debt crisis than others. We further observe that this effect is particularly pronounced for corporations with a high dependency on their domestic market. |
| Authors |
Haerri, Matthias; Morkötter, Stefan & Westerfeld, Simone |
| Journal or Publication Title |
Journal of Credit Risk |
| Language |
English |
| Keywords |
Credit Default Swaps, Pricing, Sovereign Risk |
| Subjects |
business studies |
| HSG Classification |
contribution to scientific community |
| Refereed |
Yes |
| Date |
20 March 2015 |
| Publisher |
Incisive Media |
| Place of Publication |
London |
| Volume |
11 |
| Number |
1 |
| Page Range |
1-27 |
| Number of Pages |
27 |
| ISSN |
1744-6619 |
| ISSN-Digital |
1755-9723 |
| Official URL |
http://search.proquest.com/docview/1672921974?acco... |
| Depositing User |
Prof. Dr. Stefan Morkötter
|
| Date Deposited |
17 Jan 2015 11:17 |
| Last Modified |
20 Jul 2022 17:23 |
| URI: |
https://www.alexandria.unisg.ch/publications/238607 |
Sovereign Risk and the Pricing of Corporate Credit Default Swaps
