-2022, applying panel regressions and quantile analysis. We conclude that an increase in sovereign risk raises the share of domestic … risk for domestic investors have increased since the 2010 financial crisis. …

schedule between risk-neutral devaluation odds and exchange rates across the term structure. The second is a discounted … expected value model that produces simultaneous estimates of risk-neutral default and devaluation odds, as well as recovery and …

spreads from 2008 to mid-2011. Our results reveal significant time-variation in risk dependence and considerable spill …

country s risk perception. Deriving market-based asset values for a set of advanced economies we gain insights into the … by debt and to be an early risk indicator for economic developments. In a cross-section analysis we identify drivers of … the economic risk of countries. Clustering the countries according to their debt to asset value ratios provides further …