Sunday, July 17, 2011

Changes in Sovereign Debt Default Risk Over the Last Month

Hickey and Walters (Bespoke) submit:

European countries have had their fair share of problems recently, and it shows in their 5-year CDS (credit default swap) prices. Below is a table showing the one-month change in default risk (5-year CDS) for nearly 60 countries. (G-7 countries are highlighted in yellow, although we do not have pricing info for Canada). As shown, 12 European countries top the list in terms of increases in default risk over the last month. Denmark default risk has spiked the most at 67%, followed by Italy (59%), the Netherlands (41%), Norway

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