Estimating the probability of multiple EU sovereign defaults using CDS and bond data

DOI10.1080/14697688.2014.932919zbMath1398.91646OpenAlexW2138172852MaRDI QIDQ4682994

R. Pianeti, Rosella Giacometti

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.932919

zbMATH Keywords

counterparty riskcredit default swapsearly warning signalsEU sovereign riskjoint default probability

Mathematics Subject Classification ID

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

Related Items (3)

Oil prices and sovereign credit risk of oil producing countries: an empirical investigation ⋮ Systemic risk in the European sovereign and banking system ⋮ Risk attribution and interconnectedness in the EU via CDS data

Cites Work

• Unnamed Item

This page was built for publication: Estimating the probability of multiple EU sovereign defaults using CDS and bond data