The Risk Structural of European Sovereign Credit Default Swap Before and After in European Periphery Countries

Isil Tellalbasi


This study has represented the determinants of sovereign CDS spreads during current sovereign debt crisis in periphery countries namely Ireland, Italy, Portugal and Spain. The period of analysis is between 2008 and 2012 years. After the demise of Lehman Brothers, the sovereign CDS market has attached significant attention and the credit markets have been issue to an unprecedented re-pricing of credit risk. Moreover, Lehman Brothers devastated investor confidence and decrease in the availability of credit. Massive assistance of the banks was heightened public sector deficit. Thus it has led to high level sovereign debt. This means that the risk of default of sovereign became real in periphery countries. This study has been classified three phases. Firstly an analysis of credit default swaps and their use in the financial World. Secondly development of the European periphery economy on a macro level in Portugal, Ireland, Italy and Spain. Finally the statistical approach of ordinary least square is to be analysed. Main purpose of this study will identify sovereign credit default swaps associated with the current sovereign debt crisis.


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International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)

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