The changing shape of sovereign default intensities

DOI10.1007/978-3-030-26036-1_14zbMATH Open1434.62223OpenAlexW2980414810MaRDI QIDQ2180407FDOQ2180407

Authors: Yusho Kagraoka, Zakaria Moussa 

Publication date: 14 May 2020

Full work available at URL: https://doi.org/10.1007/978-3-030-26036-1_14

Recommendations

• Dynamic credit default swap curves in a network topology
• Sovereign CDS calibration under a hybrid sovereign risk model
• scientific article; zbMATH DE number 2150980
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH

zbMATH Keywords

Kalman filterstate space modelNelson-Siegel modelsovereign credit default swapsovereign default intensities

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cited In (4)

• An apocalypse foretold: climate shocks and sovereign defaults
• Robust analysis of default intensity
• Deadly Embrace: Sovereign and Financial Balance Sheets Doom Loops
• Sovereign bond market shock spillover over different maturities: a journey from normal to Covid-19 period

This page was built for publication: The changing shape of sovereign default intensities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2180407)