The Relationship between Risk Premium and Risk-Free Interest Rate: Evidence from Sovereign CDS Spreads

Author:

Jopp Thomas,Knoll Leonhard

Publisher

Elsevier BV

Reference96 articles.

1. What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk;J Aizenman;Journal of International Money and Finance,2013

2. The credit default swap market: what a difference a decade makes;I Aldasoro;BIS Quarterly Review,2018

3. Risk aversion and risk premia in the CDS market;J D Amato;BIS Quarterly Review December,2005

4. Sovereign CDS and bond pricing dynamics in emerging markets: Does the cheapest-to-deliver option matter;J Ammer;Journal of International Financial Markets, Institutions and Money,2011

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