• Working Paper  Open Access

      Portfolio diversification in the sovereign credit swap markets 

      Consiglio, Andrea; Lotfi, Somayyeh; Zenios, Stavros A. (Springer, 2017-05)
      We develop models for portfolio diversification in the sovereign credit default swap (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient ...