Autore:
Carlo D. Mottura, Luca Passalacqua
Abstract:
Since “the link between the condition of sovereign borrowers and that of their domestic banking systems has been a key feature of the global financial crisis”, we analyse, using a standard market model, if default correlation between the stateguarantor and the bank-borrower implicit in european government guarantees
covering bank debt is a proper measure of the such dependence.
Parole Chiave:
government guarantee, annualized guarantee fee, up-front guarantee value, counterparty default risk, correlation
Tipo di pubblicazione:
Rapporto Tecnico
Codice Pubblicazione:
5
Contatto:
ISSN:
2279-798X
