• CDS sovrani
• crisi del debito sovrano
• downgrading
• rischio paese
• sovereign rating
• spread

The sovereign debt crisis in the euro area was the direct consequence of the 2007 American crisis. This thesis proposes an analysis on Italian sovereign credit default swaps and on the spread trend. The spread of CDS, both sovereign and corporate, is one of the key elements of this type of contract and one of the factors for measuring the country risk for investors. It is also influenced by the sovereign credit rating expressed by the most important global agencies. For this reason, based on the studies of some authors, we propose an analysis of the spread of Italian sovereign CDS on the basis of Standard&Poors' announcements of downgrading of the Italian creditworthiness. The target is to verify if the market related to these credit derivatives is able to anticipate the downgrading announcements. The four reference downgrades are included in the 2011-2014 period.