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Tail event-based sovereign credit risk transmission network during COVID-19 pandemic

Nader Naifar and Syed Jawad Hussain Shahzad

Finance Research Letters, 2022, vol. 45, issue C

Abstract: This paper investigates the interconnectedness between sovereign credit risk based on the tail event and network dynamics technique. Specifically, we examine the interdependence in upper tails of sovereign credit default swap in the case of fifteen most COVID-19 affected countries. Empirical findings indicate that connectedness among SCDS spreads changed over time and is higher during the COVID19 outbreak. Russia, Brazil, and China are the most credit risk emitter and receiver during the COVID-19 pandemic.

Keywords: Sovereign credit risk; Credit default swap; Tail event; Network risk; COVID-19 pandemic (search for similar items in EconPapers)
JEL-codes: C1 G01 G15 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/

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