Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/149468
Authors: 
Lange, Rutger-Jan
Lucas, Andre
Siegmann, Arjen H.
Year of Publication: 
2016
Series/Report no.: 
Tinbergen Institute Discussion Paper 16-064/IV
Abstract: 
We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period 2008--2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987-2008, only the bond yield data can be used to shed light on European sovereign systemic stress. We also show that simple averages of rolling pairwise correlations do not always yield intuitive systemic risk indicators.
Subjects: 
systemic risk
conditional default
credit default swaps
bond yields
JEL: 
G01
G17
C32
Document Type: 
Working Paper

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