scholarly journals Credit Default Swap Spreads and Variance Risk Premia

2011 ◽  
Vol 2011 (02) ◽  
pp. 1-40
Author(s):  
Hao Wang ◽  
◽  
Hao Zhou ◽  
Yi Zhou
Keyword(s):  
Credit Default Swap ◽  
Risk Premia ◽  
Credit Default ◽  
Default Swap ◽  
Variance Risk ◽  
Swap Spreads

scholarly journals Credit default swap spreads and variance risk premia

2013 ◽  
Vol 37 (10) ◽  
pp. 3733-3746 ◽  
Author(s):  
Hao Wang ◽  
Hao Zhou ◽  
Yi Zhou
Keyword(s):  
Credit Default Swap ◽  
Risk Premia ◽  
Credit Default ◽  
Default Swap ◽  
Variance Risk ◽  
Swap Spreads

scholarly journals Exchange Rates and Sovereign Risk

2021 ◽  
Author(s):  
Pasquale Della Corte ◽  
Lucio Sarno ◽  
Maik Schmeling ◽  
Christian Wagner
Keyword(s):  
Risk Factor ◽  
Exchange Rates ◽  
Cross Section ◽  
Credit Default Swap ◽  
Risk Premia ◽  
Sovereign Risk ◽  
Distress Risk ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

An increase in a country’s sovereign risk, as measured by credit default swap spreads, is accompanied by a contemporaneous depreciation of its currency and an increase of its volatility. The relation between currency excess returns and sovereign risk is mainly driven by default expectations (rather than distress risk premia) and exposure to global sovereign risk shocks and also emerges in a predictive setting for currency risk premia. We show that a sovereign risk factor is priced in the cross-section of currency returns and that it is not subsumed by the carry factor. This paper was accepted by David Simchi-Levi, finance.

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