“…Since the last two crises, sovereign CDS market of developed countries has attracted growing attention. The most popular topics treated in this field are: sovereign CDS spreads determinants (Gibson, Hall, & Tavlas, 2014;Groba, Lafuente, & Serrano, 2013;Kim, Loretan, & Remolona, 2010); sovereign CDS spreads decomposition into a set of risks (Badaoui, Cathcart, & El-Jahel, 2013;Beirne & Fratzscher, 2013;Broto & Pérez-Quiros, 2015;Longstaff, Pan, Pedersen, & Singleton, 2011) and the eventual credit risk transmission from the sovereign CDS market to the underlying sovereign bond market (Arce, Mayordomo, & Pena, 2013;Fontana & Scheicher, 2010;Pianeti & Giacometti, 2015) and to some financial product markets.…”