首页|Pricing Sovereign Credit Risk of Poland: Evidence from the CDS Market

Pricing Sovereign Credit Risk of Poland: Evidence from the CDS Market

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  • Taylor & Francis
We analyze the market assessment of sovereign credit risk using a reduced-form model to price the credit default swap (CDS) spreads, thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts. We compare different specifications of the models allowing for both fixed and time-varying LGD, and we use these values to analyze the sovereign credit risk of Polish debt throughout the period of a global financial crisis. Our results suggest the presence of a low LGD and a relatively high PD during a recent financial crisis.

CDS spreadsloss given defaultPolandprobability of defaultsovereign credit risk

Camba-Mendez, Gonzalo、Kostrzewa, Konrad、Marszal, Anna、Serwa, Dobromil

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European Cent Bank, Capital Markets & Financial Struct Div, Frankfurt, Germany

Narodowy Bank Polski, Financial Stabil Dept, Ul Swietokrzyska 11-21, PL-00919 Warsaw, Poland

Narodowy Bank Polski, Domest Operat Dept, Warsaw, Poland

Narodowy Bank Polski, Financial Stabil Dept, Warsaw, Poland|Inst Econometr, SGH Warsaw Sch Econ, Warsaw, Poland

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2016

10.1080/1540496X.2016.1216935

Emerging markets finance & trade

Emerging markets finance & trade

ISSN：
年,卷(期)：2016.52(10/12)
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