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16-064/IV - Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads


  • Authors
    Rutger-Jan Lange, VU University Amsterdam, Erasmus University Rotterdam, the Netherlands; Andre Lucas, VU University Amsterdam, the Netherlands; Arjen H. Siegmann, VU University Amsterdam, the Netherlands
  • Publication date
    August 29, 2016
  • Keywords
    systemic risk, conditional default, credit default swaps, bond yields
  • JEL
    G01, G17, C32