Sovereign-Bond Backed Securities as a new Safe Asset for the Eurozone: a Dynamic Credit Risk Perspective


We carry out a detailed quantitative analysis for synthetic securities backed by diversified portfolios of European sovereign bonds (socalled SBSs). Such securities have recently received a lot of interest as a tool to... [ view full abstract ]


  1. Rüdiger Frey (Vienna University of Economics and Business)

Topic Areas

Credit Risk , Credit Jump Models , Systemic Risk


TU-A-B2 » Credit Risk 1 (11:30 - Tuesday, 17th July, Beckett 2)

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