analyzes a possible risk premium for uncertainties regarding the current and
future default probabilities in the context of the European fiscal crisis. It
is argued that this risk premium was an important driver of credit spreads on a
singly country level and that it has catalyzed sovereign credit contagion
effects in the past. The relevance of this risk premium in the context of the
fiscal crisis is then empirically analyzed based on a doubly stochastic reduced
form credit risk model.