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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 ...
Financial Bridges and Network Communities
(2018-09-29)
We analyze the global financial crisis and the European sovereign debt crisis showing that the European network exhibits a strong community structure with two main blocks acting as shock spreader and receiver, respectively. ...