Since “the link between the condition of sovereign borrowers and that of their domestic banking systems has been a key feature of the global financial crisis”, we analyse, using a standard market model, if default correlation between the stateguarantor and the bank-borrower implicit in european government guarantees covering bank debt is a proper measure of the such dependence.
Implicitly default correlation in European government guarantees covering bank debt / Mottura, Carlo Domenico; Passalacqua, Luca. - STAMPA. - (2014), pp. 1-29.
Implicitly default correlation in European government guarantees covering bank debt.
MOTTURA, Carlo Domenico;PASSALACQUA, LUCA
2014
Abstract
Since “the link between the condition of sovereign borrowers and that of their domestic banking systems has been a key feature of the global financial crisis”, we analyse, using a standard market model, if default correlation between the stateguarantor and the bank-borrower implicit in european government guarantees covering bank debt is a proper measure of the such dependence.File allegati a questo prodotto
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