Analysing Sovereign Credit Default Swaps of Baltic Countries

摘要: The paper analyses development of the Baltic sovereign CDS market. level commonalities and differences in credit risk countries with regard to spreads is investigated. We apply principal component analysis, regression correlation analysis methods Granger causality test. Driving forces for changes individual country are established. discover that main impact spread arrives from external sources. Our study reveals interdependence between a contagion effect change spreads.