The article analyzes the credit default swap spreads of South Korea to understand the risk of sovereign default. The researchers studied the term structure of CDS spreads to examine the historical and risk-neutral measures of default risk. They found that CDS spreads in the Korean market regress faster than those traded by risk-neutral investors. Additionally, the market price of risk in forming the CDS term structure was higher in a risk-neutral environment. After the financial crisis of 2008, there was an increase in the desire to recover from bad situations, leading to higher CDS premiums. Overall, market participants demanded higher risk premiums than actual risks, shaping the term structure of CDS in the market.