Sovereign Debt Default Risk

Below is a table showing default risk as measured by 5-year credit default swap prices for nearly 60 countries worldwide.   As shown, default risk for Greece is by far the highest of any country shown, and 5-year CDS prices for the country are up 40% so far in 2011.  Venezuela has the second highest CDS prices, but they're only up 6% year to date.  Portugal and Ireland are the 3rd and 4th riskiest countries.

The countries that investors believe are least at risk of default are currently Norway, Sweden, Finland, and Denmark.  The US used to be the least at risk of default, but CDS prices here have ticked up 20% so far in 2011.  US default risk is still low relative to the rest of the world, but any tick higher is something we don't want to see.

While default risk in Greece and here in the US is up in 2011, the average country has seen its default risk decline by about 5% this year.  Below are tables showing the countries where default risk has risen and fallen in 2011.  Egypt default risk is up nearly as much as Greece default risk this year, while Portugal, Saudi Arabia, and Israel rank 3rd, 4th and 5th.  The US has seen its default risk rise the 8th most out of the 57 countries shown in 2011.

On the positive side, the Netherlands has seen its default risk fall the most of any country so far in 2011 with a decline of 52.05%.  Austria ranks second at -36.04%, followed closely by Denmark at -36%. 

Comments

[jeff]

I was curious about Canada!!! Is it possible to include it in your list???

I religiously read your blog from Canada

[BP]

No CDS on Canada? The Economist never puts Canada on any chart. This is why the Canada bubble is still growing.