LAUSR

Measuring Sovereign Risk: Are CDS Spreads Better than Sovereign Credit Ratings?

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1 Published in 2019 at "Financial Management"

DOI: 10.1111/fima.12223

Abstract: Using data for 54 countries over a 12‐year period, we find that the variation in average sovereign ratings in a given year can be explained by average credit default swap (CDS) spreads over the previous… read more here.

Keywords: cds spreads; measuring sovereign; sovereign; risk cds ... See more keywords