Sovereign Risk

Course Content

This course is an introduction to the concept of credit contagion. It covers the following topics:

• Contagion Risk Overview and Definition
• Various Contagion Types and Modelling Challenges
• The Simple Contagion Model by Davis and Lo
• Supply Chains Contagion
• Sovereign Contagion

What are European Safe Bonds?

While the creation of the eurozone was a landmark of the European integration process, the financial crisis highlighted that the eurozone remains an incomplete design which can lead to unpredictable and adverse situations in the event of a (the) next major crisis. One of the key such incompleteness features of the current eurozone architecture is that it does not have a truly risk-free (safe) euro debt instrument: one that continues being serviced (avoids a default event) at virtually any point in time and state of the world, no matter how severe.