Estimating redenomination risk under Gumbel-Hougaard survival copulas

DOI10.1016/J.JEDC.2021.104268MaRDI QIDQ2054855zbMATH OpenOpenAlexFDO

Authors Umberto Cherubini

Publication date 3 December 2021

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2021.104268

zbMATH Keywords

credit defualt swapsdefault riskEuro crisisredenomination risksovereign bonds

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial networks (including contagion, systemic risk, regulation) (91G45)

Recommendations

• Redenomination-risk spillovers in the eurozone
• Multi-currency credit default swaps
• Sovereign risk zones in Europe during and after the debt crisis
• Contagion-based distortion risk measures
• A copula-based Markov reward approach to the credit spread in the European Union

Cites work

• \textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe
• An introduction to copulas.
• Copulas and dependence models with applications. Contributions in honor of Roger B. Nelsen
• ECB policies involving government bond purchases: impact and channels
• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
• Multi-currency credit default swaps

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