Sovereign Risk

New Open Risk Academy Course: Simulation of Credit Contagion

New Open Risk Academy Course: Simulation of Credit Contagion

Reading Time: 2 min.

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

Who Is This Course For

The course is useful to:

A Risk Agnostic Approach to European Safe Bonds (ESBies) Tranching

A Risk Agnostic Approach to European Safe Bonds (ESBies) Tranching

Reading Time: 7 min.

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.