As the crisis in Europe continues to spiral out of control, I wanted to take a look at the cost of insuring against default for the PIIGS (Portugal, Italy, Ireland, Greece, and Spain). As you can see from the chart below, over the past several weeks 5Y CDS for the PIIGS has risen substantially, with […]
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CDS
Recently, I have been attempting to locate data on the Asian credit default swap (CDS) market, specifically on sovereign protection; I couldn’t find much. In response I decided to put together this posting, which tracks performance and allows for some basic relative value and correlation analysis verse equity markets. All CDS prices quoted in this […]