EIB Working Paper 2022/06 - Hot off the press News-implied sovereign default risk

"This sovereign default risk index is a high frequency measure of countries' default risk, particularly for those lacking market-based measures: it correlates with sovereign credit default swap spreads, predicts rating downgrades, and reflects default risk information not fully captured th...

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Auteur principal: European Investment Bank (auth)
Format: Électronique Chapitre de livre
Langue:anglais
Publié: 2022
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