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  • Markets & Economy

What Sovereign CDS Spreads Potentially Tell Us about Currency Risk

Currency risk is embedded within CDS prices; if a country defaults, the value of its currency is likely to drop, to the detriment of investors with CDS exposure to that currency. The recently widening gap between European sovereign CDS priced in EUR and those priced in USD may therefore herald rising distress for the European Union as a whole.

  • Markets & Economy

Credit-Implied Volatility

The pricing of corporate credit can be succinctly understood via the credit-implied volatility (CIV) surface.