Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts
NBER Working Paper No. 19985
---- Acknowledgments ----
Previous versions of this paper were presented at seminar in London Business School, Nanterre University, the International Finance and Banking Society 2013 conference and the Graduate Institute Geneva. We are grateful for comments from seminars participants. We would like to acknowledge helpful discussions with Vincent Bouvatier, Isabelle Couet, Jérôme Creel, Darrell Duffie, Frédéric Malherbe, Lisa Pollack, Hélène Rey, Giovanni Ricco and Paolo Surico. This research was partly supported by a grant from the London Business School RAMD fund and from the European Commission under Framework Programme 7. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.