\textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe

DOI10.1016/j.jedc.2013.02.005zbMath1327.91066OpenAlexW2003731408MaRDI QIDQ900389

Angelo Baglioni, Umberto Cherubini

Publication date: 22 December 2015

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2013.02.005

zbMATH Keywords

country riskfinancial crisiscopula functionssystemic riskMarshall-Olkin distributionsovereign default

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)

Related Items (12)

Data-Driven Approach for Systemic Risk: A Macroprudential Perspective ⋮ A Marshall-Olkin type multivariate model with underlying dependent shocks ⋮ Editorial: Introduction to the special issue on `Rethinking policies when heterogeneity matters' ⋮ Archimedean-based Marshall-Olkin distributions and related dependence structures ⋮ Vector copulas ⋮ Making the Eurozone work: a risk-sharing reform of the European stability mechanism ⋮ Risk attribution and interconnectedness in the EU via CDS data ⋮ Estimating redenomination risk under Gumbel-Hougaard survival copulas ⋮ A new approach to measure systemic risk: a bivariate copula model for dependent censored data ⋮ Contagion-based distortion risk measures ⋮ A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution ⋮ Extended Marshall–Olkin Model and Its Dual Version

Cites Work

• Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk
• Multivariate hierarchical copulas with shocks
• An introduction to copulas.
• Lévy-frailty copulas
• Implied recovery
• Moment-based estimation of extendible Marshall-Olkin copulas
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• A continuous general multivariate distribution and its properties
• Estimating a Banking-Macro Model Using a Multi-regime VAR
• A Multivariate Exponential Distribution

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