Below is an interesting paper from HSBC on sovereign CDS. They used cluster analysis to show that correlations in CDS spreads are less about geographic proximity and more about related risk profiles of various nations. The researchers also show how the clustering changed over time.
Enjoy!
BlocBuster Redrawing the World's Map Using Cluster Analysis
Analysis of Sovereign CDS
Below is an interesting paper from HSBC on sovereign CDS. They used cluster analysis to show that correlations in CDS spreads are less about geographic proximity and more about related risk profiles of various nations.
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