Pricing of sovereign credit risk : evidence from advanced economies during the financial crisis

Pricing of sovereign credit risk : evidence from advanced economies during the financial crisis / C. Emre Alper, Lorenzo Forni and Marc Gerard.

We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market arbit...

Full description

Saved in:
Bibliographic Details
Main Authors: Alper, C. Emre (Author), Forni, Lorenzo (Author), Gerard, Marc (Author)
Format: eBook
Language:English
Published: [Washington, D.C.] : International Monetary Fund, ©2012.
Series:IMF working paper ; WP/12/24.
Subjects:
2008-2009
Country risk > Econometric models.
Government securities > Econometric models.
Global Financial Crisis, 2008-2009 > Econometric models.
Country risk > Econometric models
Econometric models
Government securities > Econometric models
Online Access:Click for online access
Login for hold information

‌

Click for online access

Online

Holdings details from Online
Status: Available

Similar Items