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Default Probabilities of European Sovereign Debt: Market-Based Estimates

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Author Info
Copeland, Laurence
Jones, Sally-Anne

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Abstract

For a number of EMU member Governments, prices of their (mainly) DM-denominated debt are compared with otherwise identical debt issued by the German Government, so as to extract implied risk-neutral default probabilities. In most cases, the probabilities are small, though in the case of Italy they average over 4% even under the most conservative assumptions. Copyright 2001 by Taylor and Francis Group

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 8 (2001)
Issue (Month): 5 (May)
Pages: 321-24
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Handle: RePEc:taf:apeclt:v:8:y:2001:i:5:p:321-24

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  2. Kerstin Bernoth & Jürgen von Hagen & Ludger Schuknecht, 2004. "Sovereign risk premia in the European government bond market," Working Paper Series 369, European Central Bank. [Downloadable!]
  3. Kerstin Bernoth & Jürgen von Hagen & Ludger Schuknecht, 2006. "Sovereign Risk Premiums in the European Government Bond Market," Discussion Papers 151, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich. [Downloadable!]
  4. Su-Lien Lu & Chau-Jung Kuo, 2005. "How to gauge the credit risk of guarantee issues in a Taiwanese bills finance company: an empirical investigation using a market-based approach," Applied Financial Economics, Taylor and Francis Journals, vol. 15(16), pages 1153-1164, November. [Downloadable!] (restricted)
  5. Petr Hedbávný & Ondrej Schneider & Jan Zápal, 2005. "A Fiscal Rule that has Teeth: A Suggestion for a Fiscal Sustainability Council underpinned by the Financial Markets," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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