Sanne Zwart

European Investment Bank

98-100 Boulevard Konrad Adenauer

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Luxembourg

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News-Implied Sovereign Default Risk

Number of pages: 49 Posted: 18 Nov 2021
Chukwuma Dim, Kevin Koerner, Marcin Wolski and Sanne Zwart
Frankfurt School of Finance & Management, European Investment Bank, European Investment Bank and European Investment Bank
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Abstract:

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Sovereign default, Credit risk, Equity returns, Machine learning, Natural language processing, Early warning indicators