Li, Junye; Zinna, Gabriele - Banca d'Italia - 2014
We develop a multivariate credit risk model for the term structures of sovereign and bank credit default swaps. First …, we separate the probability of joint defaults of large Eurozone sovereigns (systemic risk) from that of sovereign …-specific defaults (country risk). Then, we quantify individual banks' exposures to each type of sovereign risk, as well as bank …