Corpus ID: 210965906

How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models

@article{Frey2020HowSA,
  title={How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models},
  author={Rudiger Frey and Kevin Kurt and Camilla Damian},
  journal={arXiv: Pricing of Securities},
  year={2020}
}
  • Rudiger Frey, Kevin Kurt, Camilla Damian
  • Published 2020
  • Economics
  • arXiv: Pricing of Securities
  • Several proposals for the reform of the euro area advocate the creation of a market in synthetic securities backed by portfolios of sovereign bonds. Most debated are the so-called European Safe Bonds or ESBies proposed by (Brunnermeier et al. 2017). This paper provides a comprehensive quantitative analysis of such products. A key component of our contribution is a novel dynamic credit risk model which captures salient features of euro area sovereign CDS spreads and enables tractable modelling… CONTINUE READING

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