Data-Driven Approach for Systemic Risk: A Macroprudential Perspective

This paper proposes a sovereign CDS analysis for systemic risk, assuming a macroprudential perspective and building on the modelling framework proposed by Baglioni and Cherubini (J. Econ. Dynam. Control 37:1581–1597, 2013). A data-driven approach applied to CDS quotes is considered to estimate a reduced form model for the marginal intensity of defaults at country level and investigate the presence of common factors. Results show a systematic effect on default intensities, rank correlation and common factors for countries in the sample with specific geographic differences. This is an important empirical evidence to further investigate how to model, measure and assess the drivers explaining heterogeneity in impacts across countries and build early warning indicators to support strategic decision making.