The paper investigates the Subprime and the European sovereign debt crises through the prism of a novel methodology for portfolio credit derivatives analytics - a dynamic top-down HJM setting. Interestingly, the eurozone resembles a giant CDO in its financial construct which makes such an...

Most economic and legal discussion of the subprime mortgage loan crisis (and the follow-on financial crisis) focuses on the United States. However, many other countries participated in the subprime securitization aspect of the crisis, not just by buying U.S.-originated consumer mortgage-backed...