11
Dec
09

Default Risk

FT Alphaville tiene un post sobre la term structure de CDS (Tema: Grecia).

Rescato lo siguiente:

(…)These sorts of curves are generally upward-sloping, since the longer the maturity, the higher the premium to pay a counterparty for protection, given the higher/longer uncertainty. (…)

(…) But it’s when the curve starts to flatten or even revert (…) that it implies fears of a near-term default. (…)

El siguiente paper de defaultrisk.com puede ser de utilidad: Understanding Decreasing CDS Curves


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