Redenomination-risk spillovers in the eurozone

DOI10.1016/J.ECONLET.2018.11.013zbMath1422.91682OpenAlexW2900651693WikidataQ128883958 ScholiaQ128883958MaRDI QIDQ2328548

Nicola Borri

Publication date: 10 October 2019

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.11.013

zbMATH Keywords

credit default swapredenomination riskquanto-CDS

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

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• Regression Quantiles
• On dependence consistency of CoVaRand some other systemic risk measures

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