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Systemic sovereign credit risk: Lessons from the U.S. and Europe · Study

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ArticleSystemic sovereign credit risk: Lessons from the U.S. and Europe

Andrew Ang2013

Article2013

Systemic sovereign credit risk: Lessons from the U.S. and Europe

Andrew Ang · Francis A. Longstaff

373 citations·0/0 files stored·Journal of Monetary Economics

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Credit Risk and Financial Regulations Banking stability, regulation, efficiency Global Financial Crisis and Policies

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References

1983Bank Runs, Deposit Insurance, and Liquidity 2008Market Liquidity and Funding Liquidity 2009This Time Is Different 2000Financial Contagion 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1981Debt with Potential Repudiation: Theoretical and Empirical Analysis 1999Modeling Term Structures of Defaultable Bonds 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market

Cited by

2013Bank/sovereign risk spillovers in the European debt crisis 2016Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads 2017Municipal Bond Liquidity and Default Risk 2016SRISK: A Conditional Capital Shortfall Measure of Systemic Risk 2014Credit Default Swaps: A Survey 2020How connected is the global sovereign credit risk network?

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2011Systemic Sovereign Credit Risk: Lessons from the U.S. and Europepreprint · 21 shared references 2011Systemic Sovereign Credit Risk: Lessons from the U.S. and Europereport · 13 shared references 2007How Sovereign is Sovereign Credit Risk?report · 12 shared references 2015Modeling Credit Contagion via the Updating of Fragile Beliefsarticle · 9 shared references 2018The Interplay between Regulations and Financial Stabilityarticle · 9 shared references 2008Understanding Common Factors in Domestic and International Bond Spreadsarticle · 9 shared references

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Year2013

Typearticle

Published2013-05-21

VenueJournal of Monetary Economics

ISSN-L0304-3932

Languageen

Citations373

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jmoneco.2013.04.009

openalex_workW3123965733

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2015

Transmission channels of systemic risk and contagion in the European financial network

2021In sickness and in debt: The COVID-19 impact on sovereign credit risk