Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
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We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major European countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is considerable
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美国国家经济研究局创建时间：
2011-04-01
