Conditional Euro Area Sovereign Default Risk
提出一个基于动态偏态t分布的实证框架，从CDS价格评估联合和条件性主权违约概率，应用于欧元区债务危机期间的数据，发现风险依赖和溢出效应随时间变化，并分析了欧央行资产购买公告对联合风险的影响。
We propose an empirical framework to assess the likelihood of joint and conditional sovereign default from observed CDS prices. Our model is based on a dynamic skewed-t distribution that captures all salient features of the data, including skewed and heavy-tailed changes in the price of CDS protection against sovereign default, as well as dynamic volatilities and correlations that ensure that uncertainty and risk dependence can increase in times of stress. We apply the framework to euro area sovereign CDS spreads during the euro area debt crisis. Our results reveal significant time-variation in distress dependence and spill-over effects for sovereign default risk. We investigate market perceptions of joint and conditional sovereign risk around announcements of Eurosystem asset purchases programs, and document a strong impact on joint risk.