We study the nature of systemic sovereign credit risk using CDS spreads for the US
Treasury, individual US states, and major Eurozone countries. Using a multifactor affine …

In this paper we modify and extend the framework of Diebold and Yilmaz (2011) to quantify
spillovers between sovereign credit markets and banks in the euro area. Spillovers are …

We examine the determinants of joint default risk of euro area countries during 2007–2011.
To accomplish this, we recover joint default probabilities from individual CDS contracts. In …

Against the background of the current debate about fiscal sustainability in several advanced
economies, this paper estimates determinants of G7 sovereign bond spreads, using high …

During the last crisis, developed economies' sovereign credit default swap (hereafter CDS)
premia have gained in importance as a tool for approximating credit risk. In this paper, we fit …

Financial market interdependence has been at the epicenter of the crisis in the euro area.
This paper tests for the existence of financial contagion during this crisis, defined as the …

This article explores the evolving relationship in the volatility of sovereign yields in the
European Economic and Monetary Union (EMU). To that end, we examine the behaviour of …

We show that sovereign CDS that have common dealers tend to be more correlated,
especially when the dealers display similar quoting activity in those contracts over time. This …

We outline a procedure for consistent estimation of marginal and joint default risk in the euro
area financial system. We interpret the latter risk as the intrinsic financial system fragility and …

During the last crisis, developed economies' sovereign Credit Default Swap (hereafter CDS)
premia have gained in importance as a tool for approximating credit risk. In this paper, we fit …