Unfunded pension liabilities and the corporate CDS market

R.C. Gallagher, D.G. McKillop

Research output: Contribution to journalArticlepeer-review


This article examines the impact of pension deficits on default risk as measured by the premia on corporate credit default swaps (CDS). We find highly significant evidence that unfunded pension liabilities raise one- and five-year CDS premia. However, this relation is not homogeneous across countries, with the U.S. CDS market leading its European counterparts in the pricing of defined-benefit pension risk.
Original languageEnglish
Pages (from-to)30-46
Number of pages17
JournalJournal of Fixed Income
Issue number3
Publication statusPublished - 1 Dec 2010


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