Redenomination-risk spillovers in the eurozone

DOI10.1016/J.ECONLET.2018.11.013MaRDI QIDQ2328548zbMATH OpenOpenAlexWikidataFDO

Authors Nicola Borri

Publication date 10 October 2019

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2018.11.013

zbMATH Keywords

credit default swapquanto-CDSredenomination risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Recommendations

• Sovereign risk contagion in the Eurozone
• Decomposing euro-area sovereign spreads: credit and liquidity risks
• Regime-Dependent Sovereign Risk Pricing During the Euro Crisis*
• Beyond spreads: measuring sovereign market stress in the Euro area
• Making the Eurozone work: a risk-sharing reform of the European stability mechanism
• Sovereign risk zones in Europe during and after the debt crisis
• A tale of two risks in the EMU sovereign debt markets
• EMU stability: direct and indirect risk sharing
• A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model
• Redenomination risk and bank runs in a monetary union with and without deposit insurance schemes

Cites work

• On dependence consistency of CoVaR and some other systemic risk measures
• Quantile regression.
• Regression Quantiles

Cited in

(4)

• Estimating redenomination risk under Gumbel-Hougaard survival copulas
• Making the Eurozone work: a risk-sharing reform of the European stability mechanism
• Sovereign risk zones in Europe during and after the debt crisis
• Non-significant in life but significant in death: spillover effects to euro area banks from the SVB fallout

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