Abstract
The literature on systemic risk focuses primarily on measuring the systemic consequences of a default of financial intermediaries. The most widely accepted measures of systemic risk are the CoVaR (Adrian and Brunnermeier 2016), the Marginal Expected Shortfall (Acharya et al. 2009, 2012), and the SRISK (Brownlees and Engle 2017). While being highly effective in gauging different dimensions of systemic risk stemming from distressed financial companies, these indicators are based on stock market and balance sheet data, which are rarely available for sovereigns. Therefore, the traditional systemic risk measures cannot be directly applied to quantify sovereign default risk. In this book, we solve this problem by deriving probabilities of default (PoDs) from credit default swap (CDS) data that is readily available for sovereigns.
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Radev, D. (2022). Related Literature. In: Measuring Systemic Risk. Studies in Systems, Decision and Control, vol 409. Springer, Cham. https://doi.org/10.1007/978-3-030-94281-6_2
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DOI: https://doi.org/10.1007/978-3-030-94281-6_2
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