Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads

By Jun Pan, Kenneth J. Singleton. 2008

905 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/369bee02bd3c940df2b40594d67cac9a41df530b

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Citations in the corpus

Pricing in the Primary Market for Cat Bonds: New Empirical Evidence (2016, positive): “Owing to our explicit separation of peril and zone, we are able to distinguish these effects more precisely than Papachristou (2009) and Galeotti et al.”
Eurozone sovereign contagion: Evidence from the CDS market (2005–2010) (2012, background): “The major studies on the sovereign CDS market were performed by Longstaff et al. (2011) and Pan and Singleton (2008), however, they were not focused on the Eurozone countries.”
Default Risk of Advanced Economies: An Empirical Analysis of Credit Default Swaps during the Financial Crisis (2012, neutral): “In the case of emerging markets sovereign CDS, only bonds issued non-domestically in a standard specified currency (USD, Euro, Yen, Canadian dollar, Franc, and Pound) are considered admissible, see Pan and Singleton (2008).”
On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle (2009, neutral): “…and Corzo (1998), Bohn (2000), Elton et al. (2001), Cooper and Davydenko (2004), Driessen (2005), Longstaff, Mithal, and Neis (2005), Campello, Chen, and Zhang (2008), Saita (2006), Berndt et al. (2005), and Pan and Singleton (2005). to historical default rates, recovery rates, and Sharpe ratios.”
The Pass-Through of Sovereign Risk (2016, background): “34 While Pan and Singleton (2008) show that D could be estimated using information from the term structure of sovereign CDS spreads, their Monte Carlo analysis suggests that this parameter is typically poorly identified in small samples.”
The Cross-Section of Credit Risk Premia and Equity Returns (2013, methodology): “(27) following Pan and Singleton (2008).”
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe (2013, background): “This type of credit event is essentially the same as those underlying standard reduced-form credit models such Duffie and Singleton (1997, 1999), Pan and Singleton (2008), and many others.”
Carry Trades and Currency Crashes (2008, neutral): “For example, Pan and Singleton (2008) find that the VIX is strongly related to the variation in risk premiums in sovereign credit default swaps.”
The Term Structure of Interbank Risk (2012, neutral): “This is consistent with several papers finding that variation in default risk carries a risk premium; see, e. g., Duffee (1999) in the case of corporate default risk and Pan and Singleton (2008) in the case of sovereign default risk.”
Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt (2010, neutral): “…market CDS spread data: Longstaff et al. (2007) find that at higher frequencies there is evidence of comovement in sovereign CDS spreads while Pan and Singleton (2008) find that the VIX is statistically significant in explaining CDS spreads of Mexico, Turkey, and Korea.15 The finding of a…”