Sanne Zwart

European Investment Bank

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Hot Off the Press: News-implied Sovereign Default Risk

Number of pages: 50 Posted: 18 Nov 2021 Last Revised: 13 Jun 2022
Chukwuma Dim, Kevin Koerner, Marcin Wolski and Sanne Zwart
George Washington University, 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