Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads
研究主权CDS利差期限结构如何揭示信用事件的发生率和损失率，对墨西哥、土耳其和韩国的分析表明，单因子模型能解释大部分利差变化，且风险溢价与全球事件风险、金融市场波动和宏观经济政策显著相关。
ABSTRACT This paper explores the nature of default arrival and recovery implicit in the term structures of sovereign CDS spreads. We argue that term structures of spreads reveal not only the arrival rates of credit events , but also the loss rates given credit events. Applying our framework to Mexico, Turkey, and Korea, we show that a single‐factor model with following a lognormal process captures most of the variation in the term structures of spreads. The risk premiums associated with unpredictable variation in are found to be economically significant and co‐vary importantly with several economic measures of global event risk, financial market volatility, and macroeconomic policy.