Default probabilities of European sovereign debt: market-based estimates

Laurence Copeland · Sally Anne Jones

28 citations0/0 files storedApplied Economics Letters

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Credit Risk and Financial Regulations Global Financial Crisis and Policies European Monetary and Fiscal Policies

Abstract

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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1979Martingales and arbitrage in multiperiod securities markets 1995The handbook of international economics 1995Do Credit Markets Discipline Sovereign Borrowers? Evidence from U.S. States 2016Federalism, Fiscal Restraints, and European Monetary Union 1992Default Risk on Government Debt in OECD Countries 1995Do Credit Markets Discipline Sovereign Borrowers? Evidence from US States 1987The Default Premium and Corporate Bond Experience 1999Credit risks and European government bond markets: a panel data econometric analysis

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