期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：We study market perception of sovereign credit risk in the euro area during the nancial crisis. In our analysis we use a parsimonious CDS pricing model to esti-mate the probability of default (PD) and the loss given default (LGD) as perceivedby nancial markets. We nd that separate identi cation of PD and LGD appearsempirically tractable for a number of euro area countries. In our empirical results theestimated LGDs perceived by nancial markets stay comfortably below 40% in mostof the samples. We also nd that macroeconomic and institutional developments wereonly weakly correlated with the market perception of sovereign credit risk, whereas nancial contagion appears to have exerted a non-negligible e ect.
关键词：sovereign credit risk; CDS spreads; euro area; probability of default; loss given;default
