Ludwig Weipert

University of Passau

Innstrasse 27

Passau, 94032

Germany

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Scholarly Papers (1)

1.

Contingent Claims Analysis of Sovereign Default Risk in the Eurozone

Number of pages: 41 Posted: 24 Apr 2017 Last Revised: 22 Oct 2017
Dennis Kahlert, Niklas Wagner and Ludwig Weipert
University of Passau, Passau University and University of Passau
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Abstract:

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Structural credit risk model, jump-diffusion, first-passage time, sovereign default risk, credit contagion