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Mutual Excitation in Eurozone Sovereign CDS
(2014-05-01)
We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to capture the salient features ...
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S&P Global Ratings (previously Standard & Poor’s) is an American credit rating agency (CRA) and a division of S&P Global that publishes financial research and analysis on stocks, bonds, and commodities.