TAILIEUCHUNG - Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis

The cash flows diagram for the mexican CAT bond is described in Figure 4. CAT-MEX Ltd. issues the bond that is placed among investors and invests the proceeds in high quality assets within a collateral account. Simultaneous to the issuance of the bond, CAT-MEX Ltd. enters into a reinsurance contract with SRC. The proceeds of the bond will also serve to provide SRC coverage for earth- quakes in Mexico in connection with an insurance agreement that FONDEN has entered with the European Finance Reinsurance Co. Ltd., an indirect wholly- owned subsidiary of SRC. A separate Event Payment Account was established with the Bank of New York providing FONDEN. | COMISION Nacional DEL Mercado DE Valores Credit-risk valuation in the sovereign CDS and bonds markets Evidence from the euro area crisis Óscar Arce Sergio Mayordomo Juan Ignacio Pena Documentos de Trabajo No 53 Credit-risk valuation in the sovereign CDS and bonds markets Evidence from the euro area crisis Óscar Arce Sergio Mayordomo Juan Ignacio Pena Documentos de Trabajo No 53 Febrero February 2012 Óscar Arce and Sergio Mayordomo are at the Department of Research and Statistics Spanish Securities Markets Commission - CNMV c Miguel Ángel 11 28010 Madrid oarce@ and smgomez@. Juan Ignacio Pena is at the Department of Business Administration Universidad Carlos III de Madrid c Madrid 126 28903 Getafe Madrid Spain ypenya@. The authors acknowledge Aquiles Rocha da Farias Francisco Rodríguez-Fernández Gerald Dwyer Richard Braun Dante Amengual Stefano Puddu and seminar participants at CNMV VI Seminar on Risk Financial Stability and Banking of the Banco Central do Brasil XIX Finance Forum Granada 2011 and Federal Reserve Bank of Atlanta Conference on Sovereign Debt and Default after the Financial Crisis of 2007-08. Pena acknowledges financial support from MCI grant ECO2009-12551. A previous version of this paper circulated under the title Do Sovereign CDS and Bond Markets Share the Same Information to Price Credit Risk An Empirical Application to the European Monetary Union Case . The opinions in this article are the sole responsibility of the authors and they do not necessarily coincide with those of the .

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