Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads

1 January 2005

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.687203

Abstract

This paper explores in depth the nature of the risk-neutral credit-event intensities (lambda^Q) that best describe the term structures of sovereign CDS spreads.

Keywords

IMPLICIT
SOVEREIGN CDS SPREADS
STRUCTURE OF SOVEREIGN
TERM STRUCTURES
LAMBDA
CREDIT
NEUTRAL

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