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Credit Default Swaps, Bond Spreads, Credit Risk, Merton Model
pro-cyclicality, financial accelerator, capital requirements, leverage, accounting standards, incentives
hedge funds, serial correlation, systemic risk, VaR, Pareto distribution
Hedge funds, Serial correlation,Systemic risk, VaR, Pareto distribution
Credit derivatives, credit default swaps, option-adjusted spreads, credit ratings
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interest rates, government yield spreads, sovereign risk premia, government debt, financial crisis, sovereign debt crisis, financial contagion, euro break up, convertibility risk
systemic risk, financial stability, systemic risk indicators
Hedge funds, Serial correlation, Systemic risk, VaR, Pareto distribution
jump-diffusion stochastic processes, option pricing, volatility