Sovereign risk zones in Europe during and after the debt crisis
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DOI: 10.1080/14697688.2018.1562197
Abstract: We employ a machine learning approach to build a European sovereign risk stratification using macroeconomic fundamentals and contagion measures, proxied by copula-based credit default swap (CDS) dependencies over the period 2008–2017, for France, Germany, Greece,… read more here.
Keywords: risk zones; risk; sovereign risk; risk thresholds ... See more keywords