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 language | English |
|---|---|
| Title of host publication | Progress in Industrial Mathematics at ECMI 2021 |
| Editors | M. Ehrhardt, M. Günther |
| Place of Publication | Cham |
| Publisher | Springer |
| Pages | 527-534 |
| Number of pages | 8 |
| Edition | 1 |
| ISBN (Electronic) | 978-3-031-11818-0 |
| ISBN (Print) | 978-3-031-11817-3 |
| DOIs | |
| Publication status | Published - 2022 |
| Event | ECMI 2021: Progress in Industrial Mathematics - Online at Wuppertal, Germany Duration: 13 Apr 2021 → 15 Apr 2022 |
Publication series
| Name | Mathematics in Industry |
|---|---|
| Volume | 39 |
| ISSN (Print) | 1612-3956 |
| ISSN (Electronic) | 2198-3283 |
Conference
| Conference | ECMI 2021 |
|---|---|
| Country/Territory | Germany |
| City | Online at Wuppertal |
| Period | 13/04/21 → 15/04/22 |
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-careOtherwise 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.