Estimating the probability of multiple EU sovereign defaults using CDS and bond data
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References listed on IDEAS
- Stefano Giglio, 2011.
"Credit default swap spreads and systemic financial risk,"
1122, Federal Reserve Bank of Chicago.
- Stefano Giglio, 2016. "Credit default swap spreads and systemic financial risk," ESRB Working Paper Series 15, European Systemic Risk Board.
- Bernd Schwaab, 2012.
"Conditional probabilities and contagion measures for euro area sovereign default risk,"
European Central Bank, vol. 17, pages 6-11.
- Xin Zhang & Bernd Schwaab & Andre Lucas, 2011. "Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk," Tinbergen Institute Discussion Papers 11-176/2/DSF29, Tinbergen Institute, revised 28 Jun 2012.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011. "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series 1327, European Central Bank.
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- repec:wsi:ijfexx:v:05:y:2018:i:02:n:s242478631850010x is not listed on IDEAS
- Cho-Hoi Hui & Chi-Fai Lo & Xiao-Fen Zheng & Tom Fong, 2015. "Measuring Contagion-Induced Funding Liquidity Risk in Sovereign Debt Markets," Working Papers 182015, Hong Kong Institute for Monetary Research.
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