Abstract We propose a market-based, early warning measure of credit risk able to enhance the observed CDS spreads with a risk premium that derives from contagion by means of a correlation network model. We then combine the proposed measure with balance-sheet information and liabilities composition, ...more »
Segnalazioni & Eventi
News in breve
- Bitcoin, Ether Bounce Off Lows After Record-Breaking Rout
- Borse ko nella settimana delle banche centrali, Piazza Affari -3,4% – Europa a corto di gas russo
- EIOPA – Publication of the Annual Report 2021
- ESMA reviews its 2021 contribution to the EU’s green and digital capital markets.
- BCE conferma svolta politica monetaria. Spread si allarga a 230 punti