Estimating redenomination risk under Gumbel-Hougaard survival copulas

DOI10.1016/j.jedc.2021.104268zbMath1478.91181OpenAlexW3208406081MaRDI QIDQ2054855

Umberto Cherubini

Publication date: 3 December 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104268

zbMATH Keywords

default risksovereign bondscredit defualt swapsEuro crisisredenomination risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Unnamed Item
• An introduction to copulas.
• \textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
• Copulas and Dependence Models with Applications
• ECB Policies Involving Government Bond Purchases: Impact and Channels*
• MULTI-CURRENCY CREDIT DEFAULT SWAPS

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