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The other stream focuses on the development of network topology-based models of risk contagion and default spread, aiming to study the resilience of various financial networks.
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The worry is if the inevitable Greek default spreads.
The modest increase in credit default spreads is not exactly what worries me, however.
"There is no rational basis for the movements in our stock or credit default spreads," Mr. Mack wrote in a companywide memo on Wednesday.
Given the precariousness of its credit rating, Italy needs the backstop of the ECB continuing to buy its bonds in order to prevent Greek-style default spreading.
Many see Greece as the potential first domino to fall in a scenario that runs as follows: the Greek austerity measures do not suffice, the debt crisis deepens, and the risk of a sovereign default spreads to other European economies.
Mr. Cookson said his biggest call now was for investors to buy dollars and long-dated United States Treasury bonds as protection against a Greek default spreading to Portugal, Spain and even Italy.
Cantor Fitzgerald strategist Stephen Pope said that Schering-Plough was also vulnerable to consolidation because of its relatively high credit default spreads, making it tricky for the company to raise financing.
Credit Crunch To compile a ranking of sovereign debt for 85 of the world's largest economies, we considered, among other factors, default probabilities based on credit default spreads, trade balances, credit agency ratings and debt as a percentage of GDP.
The latest credit default spreads data for the largest banks show a speculative run underway.
There was also concern about default spreading via a domino effect of sorts: Markets in weak eurozone economies would be spooked by the ECB letting Greece default, resulting in bank runs in nations like Portugal, Ireland and Italy.
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