I construct a time-series measure of currency redenomination risk in French, Italian, and German government bonds based on two types of CDS contracts. I use the measure to assess how the event of a French or Italian eurozone exit is priced in the cross-section of eurozone sovereign bonds. Yields...

This paper argues that the Eurozone crisis stems from a risk management failure in the Eurosystem's design, and that applying insurance theory is useful. We model risk neutral agents choosing portfolios of government bonds of n countries in a monetary union and other assets. We firstly analyse a...