Analysis of the relationship between Sovereign CDS and Sovereign Bonds spreads

Posted 6.06.2012

As CDS and more specifically Sovereign CDS have come under political scrutiny, we thought it would be useful to have a more impartial view on the relationship between Sovereign CDS and the Sovereign spreads. Academic research centre EDHEC-risk devoted efforts to analyse the possible impact of one on to the other and came up with results that are worth looking at.

We went to a presentation of those results by Dominic O’Kane, who conducted this analysis and thought it would be interesting and hopefully useful to share them with you.


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