My new favorite website is this one, which monitors credit default swaps and displays some useful free data about them (you can pay to get more data). The most interesting statistic is the cumulative probability of default for various sovereign bonds. The site calculates these over a five-year period based on the term structure of interest rates and the price of various credit default swaps.
Thoughts on sovereign default
Thoughts on sovereign default
Thoughts on sovereign default
My new favorite website is this one, which monitors credit default swaps and displays some useful free data about them (you can pay to get more data). The most interesting statistic is the cumulative probability of default for various sovereign bonds. The site calculates these over a five-year period based on the term structure of interest rates and the price of various credit default swaps.