Paper examines credit risk spillover in the eurozone
Paper looks at eurozone data between 2007 and 2015
Market values for credit default swaps may significantly overstate the degree of contagion between perceived risk for financial institutions and sovereigns, a working paper published by the European Central Bank argues.
In Credit risk spillover between financials and sovereigns in the euro area during 2007–2015, Olivier Vergote studies how financial institutions and sovereigns in the eurozone influenced each other's default probabilities.
The author derives fair value credit default swap spreads
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