Parameter estimates
| Systemic risk | α | β | σ | RMSE (in bp) | |
|---|---|---|---|---|---|
| Germany | 0.0622 (0.0073) | −0.0219 (0.0.0015) | 0.0146 (0.0086) | 4.4965 | |
| Idiosyncratic risk | a | b | c | γ | RMSE (in bp) |
| Portugal | −0.9267 (0.0428) | 1.9328 (0.0421) | 0.0.1233 (0.0037) | 2.2520 (0.0001) | 11.0307 |
| Spain | −0.9789 (0.0082) | 1.0953 (0.0414) | 0.0955 (00.0026) | 2.6460 (0.0001) | 14.0276 |
| Italy | −1.4098 (0.0020) | 0.0103 (0.0024) | 0.0143 (0.0011) | 2.5916 (0.0001) | 12.1977 |
| Ireland | −2.3348 (0.0595) | 1.5549 (0.1113) | 0.1762 (0.0104) | 4.5194 (0.0001) | 20.2708 |
| The Netherlands | −0.7996 (0.0059) | 1.1922 (0.0187) | 0.0907 (0.0020) | 0.9368 (0.0002) | 5.5004 |
| France | −0.7993 (0.0028) | 0.3291 (0.0066) | 0.0477 (0.0010) | 1.0238 (0.0002) | 6.0192 |
| Belgium | −0.9967 (0.0012) | 0.0872 (0.0014) | 0.1706 (0.0018) | 1.1147 (0.0002) | 8.8933 |
| Systemic risk | RMSE (in bp) | ||||
|---|---|---|---|---|---|
| Germany | 0.0622 (0.0073) | −0.0219 (0.0.0015) | 0.0146 (0.0086) | 4.4965 | |
| Idiosyncratic risk | a | b | c | RMSE (in bp) | |
| Portugal | −0.9267 (0.0428) | 1.9328 (0.0421) | 0.0.1233 (0.0037) | 2.2520 (0.0001) | 11.0307 |
| Spain | −0.9789 (0.0082) | 1.0953 (0.0414) | 0.0955 (00.0026) | 2.6460 (0.0001) | 14.0276 |
| Italy | −1.4098 (0.0020) | 0.0103 (0.0024) | 0.0143 (0.0011) | 2.5916 (0.0001) | 12.1977 |
| Ireland | −2.3348 (0.0595) | 1.5549 (0.1113) | 0.1762 (0.0104) | 4.5194 (0.0001) | 20.2708 |
| The Netherlands | −0.7996 (0.0059) | 1.1922 (0.0187) | 0.0907 (0.0020) | 0.9368 (0.0002) | 5.5004 |
| France | −0.7993 (0.0028) | 0.3291 (0.0066) | 0.0477 (0.0010) | 1.0238 (0.0002) | 6.0192 |
| Belgium | −0.9967 (0.0012) | 0.0872 (0.0014) | 0.1706 (0.0018) | 1.1147 (0.0002) | 8.8933 |
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