Default probabilities of European sovereign debt: market-based estimates
AbstractFor 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.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 8 (2001)
Issue (Month): 5 ()
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