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European Divergence
May 13, 2010
Early Warning Case Study of PIIGS CDS
This short case study examines the effectiveness of VaR outlier analysis as early warning signals using European Sovereign CDS spreads
The data in this study ranges from Jan 2007 to April 29 2010
On May 10 2010 the $1 trillion EU IMF rescue package caused a record tightening of CDS spreads. We plan to update this study to take into account this new regime
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