ECB paper presents new sovereign stress model


A working paper from the European Central Bank presents a new model for measuring sovereign bond market stress for individual countries in the eurozone.

In Beyond spreads: measuring sovereign market stress in the euro area, Carlos Garcia-de-Andoain and Manfred Kremer present their “composite indicator of systemic sovereign stress”, or SovCISS, model.

It builds on the composite indicator of systemic stress model, which was first presented in a 2012 ECB paper by Holló, Kremer and Lo Duca.


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