Default probabilities of European sovereign debt: market-based estimates

For a number of EMU member Governments, prices of their (mainly) DM-denominated debt are compared with otherwise identical debt issued by the German Government, so as to extract implied risk-neutral default probabilities. In most cases, the probabilities are small, though in the case of Italy they average over 4% even under the most conservative assumptions.

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Year of publication:	2001
Authors:	Copeland, Laurence ; Jones, Sally-Anne
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 8.2001, 5, p. 321-324
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009196091