Sovereign credit risk spillover

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Sovereign credit risk spillover

This thesis examines cross-market correlations between means and variances in sovereign credit markets and captures the presence of any contagion effect by focusing on parallel movements between markets in the wake of the recent crisis. Furthermore, it focuses on the effect of policy interventions o...

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Bibliographic Details
Main Author:	Xie, Hui
Format:	Thesis (University of Nottingham only)
Language:	English
Published:	2014
Subjects:	Credit ratings credit management bailouts (Government policy)
Online Access:	https://eprints.nottingham.ac.uk/27743/

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