• Measuring sovereign contagion in Europe 

      Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto (CAMP Working Paper Series;4/2012, Working paper, 2014-06-24)
      This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression ...
    • The bank-sovereign nexus: Evidence from a non-bailout episode 

      Caporin, Massimiliano; Natvik, Gisle James; Ravazzolo, Francesco; Santucci de Magistris, Paolo (Journal article; Peer reviewed, 2019)
      We explore the interplay between sovereign and bank credit risk in a setting where Danish authorities first let two Danish banks default and then left the country’s largest bank, Danske Bank, to recapitalize privately. We ...