The study looked at how credit default swap prices for Argentine debt reflect market expectations and default risk. They found that the default risk premium is significant and doesn't always increase with higher default probability. The premium plays a big role in pricing credit derivatives when default risk is moderate, but its impact lessens when risk is very high. The default risk premium for Argentine debt had a rising term structure over time. Changes in the U.S. economy, credit conditions, and the strength of the Argentine economy affected variations in default risk premiums.