Polish paper explores market perception of sovereign credit risk
Study covers CDS spreads in the eurozone during financial crisis
Macroeconomic and institutional developments were only "weakly correlated" with the market perception of sovereign credit risk in the eurozone during the financial crisis, according to a working paper published by the National Bank of Poland.
In Market perception of sovereign credit risk in the euro area during the financial crisis, Gonzalo Camba-Méndez and Dobromił Serwa use a parsimonious credit default swap (CDS) pricing model to estimate "market implied measures" of the probability of
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