appropriately. Finally, we implement a simple stochastic volatility model and simulate the credit transition matrix for two large … the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories …

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …

Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number … of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results … indicate that GARCH models of volatility could be potentially useful in assessing financial soundness. Daily data are more …

This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European … sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of … explaining each other’s volatility while Germany also plays an important role. It is found that extreme bad news led to …

Europe after the global financial crisis (GFC). We find that the post-GFC recoveries in Europe have been weaker than previous …

the term sovereign risk. Developments in Europe since early 2010 presented new challenges for the functioning of private … shows that exposure to sovereign risk may have limited the ability of banks in Europe to attract deposits. The results are …