Czynniki determinujące wycenę kontraktów CDS wystawianych na dług rządowy na świecie i w Polsce
The determinants of the sovereign CDS pricing on the global market and in Poland

Summary/Abstract: Nowadays the soveregin CDS premia are an indicator of the risk-free rate of return typical for the specified financial market. It is also more readily used for this purpose than the underlying assets because swaps are more liquid than treasury bonds, that − according to some researchers and investors − enables better risk pricing. The latest turmoil in the global financial market resulted in rising the volatility of that premia that not always reflected fundamentals. The objectives of the article are: 1) isolating the most important factors determining the sovereign CDS premia on the global financial market and in Poland confirmed on the empirical ground, 2) trying to answer the question whether the nature and scope of sovereign CDS premium determinants reflect the sovereign credit risk.

• Details
• Contents