This study analyzes how the 2008 and 2010 financial crises, which began in the US and Greece respectively, affected the Hurst exponents of index returns of the stock markets of Belgium, France, Greece, Japan, the Netherlands, Portugal, the UK and US. We perform two innovative statistical tests...

In this paper we propose a discrete time model to measure the default spread for Bank loans. The model provides a closed-form solution for the short and medium term default spread, which we assume to be dependent on the default probabilities, the losses given default, the risk grades transition...

This paper analyses the contagion effects of the Greek stock market to the European stock markets of the NYSE Euronext group (Belgium, France, the Netherlands and Portugal), in the context of the 2010 sovereign debt crisis. Three tests of contagion are performed using copula models. The first...