Data-Driven Approach for Systemic Risk: A Macroprudential Perspective

Flavia Barsotti*

*Corresponding author for this work

Research output: Chapter in Book/Conference proceedings/Edited volumeChapterScientificpeer-review

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Abstract

This paper proposes a sovereign CDS analysis for systemic risk, assuming a macroprudential perspective and building on the modelling framework proposed by Baglioni and Cherubini (J. Econ. Dynam. Control 37:1581–1597, 2013). A data-driven approach applied to CDS quotes is considered to estimate a reduced form model for the marginal intensity of defaults at country level and investigate the presence of common factors. Results show a systematic effect on default intensities, rank correlation and common factors for countries in the sample with specific geographic differences. This is an important empirical evidence to further investigate how to model, measure and assess the drivers explaining heterogeneity in impacts across countries and build early warning indicators to support strategic decision making.

Original languageEnglish
Title of host publicationProgress in Industrial Mathematics at ECMI 2021
EditorsM. Ehrhardt, M. Günther
Place of PublicationCham
PublisherSpringer
Pages527-534
Number of pages8
Edition1
ISBN (Electronic)978-3-031-11818-0
ISBN (Print)978-3-031-11817-3
DOIs
Publication statusPublished - 2022
EventECMI 2021: Progress in Industrial Mathematics - Online at Wuppertal, Germany
Duration: 13 Apr 202115 Apr 2022

Publication series

NameMathematics in Industry
Volume39
ISSN (Print)1612-3956
ISSN (Electronic)2198-3283

Conference

ConferenceECMI 2021
Country/TerritoryGermany
CityOnline at Wuppertal
Period13/04/2115/04/22

Bibliographical note

Green Open Access added to TU Delft Institutional Repository 'You share, we take care!' - Taverne project https://www.openaccess.nl/en/you-share-we-take-care
Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.

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