Results 1 to 10 of about 418 (215)
African sovereign risk premia and international market assets: A relook under the COVID-19 outbreak [PDF]
HeliyonUsing the wavelet multiscale coherence technique, the paper examines the interdependences between global market assets, sovereign credit default swap (CDS) and yield-to-maturity on bond spread for African economies from January 2019 to March 2023.
Godfred Amewu +2 more
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Impact of Macro Indicators on Istanbul Stock Exchange During Covid-19 Pandemic
İzmir İktisat Dergisi, 2022 This research analyses the effects of the macro indicators like credit default swap, exchange rate, oil prices and gold prices on the Istanbul Stock Exchange (BIST100 Index) during the Covid-19 period by applying vector autoregressive model. In the model,
Volkan Kaymaz, Özlem Yılmaz
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Scientific Annals of Economics and Business, 2021 International investors wish to measure the sovereign risk premiums of the countries they want to invest in. Credit Default Swap Spread (CDS), which also shows the credit risks, is one of the important proxies that measure the country risk. Increased CDS
Sinan Aytekin, Nida Abdioglu
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Borsa Istanbul Review, 2022 This study researches the impacts of foreign portfolio flows (proxied by foreign investors' retention share) and monetary policy responses (proxied by the repurchase interest rate) on Turkey's stock market index taking the COVID-19 pandemic into ...
Mustafa Tevfik Kartal +2 more
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Goodness-of-Fit of Logistic Regression of the Default Rate on GDP Growth Rate and on CDX Indices
Mathematics, 2021 Under the Basel II and Basel III agreements, the probability of default (PD) is a key parameter used in calculating expected credit loss (ECL), which is typically defined as: PD × Loss Given Default × Exposure at Default.
Kuang-Hua Hu +3 more
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The study on risk avoidance of transaction default based on the herding effect
Systems Science & Control Engineering, 2021 There is a widespread phenomenon of trading goods ordered in advance in the commodity market, and consumers choose to imitate others for security reasons, to form a herd phenomenon of following the trend and following the crowd, this has become an ...
Liang Wu
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Impact of COVID-19 on the Robustness of the Probability of Default Estimation Model
Mathematics, 2021 Probability of default (PD) estimation is essential to the calculation of expected credit loss under the Basel III framework and the International Financial Reporting Standard 9.
Ming-Chin Hung +2 more
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Financial Fragility and Basic Economic Indicators in Turkey
Muhasebe Enstitüsü Dergisi, 2022 Financial fragility emerges as a concept that measures economic resilience against crises. Economies with high financial fragility suffer greater exposure to economic crises.
Şule Yüksel Yiğiter +1 more
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Финансы: теория и практика, 2022 The subject of the research is the influence of the debt burden of state-owned companies on the dynamics of Russia’s corporate external debt. The relevance is due to the unprecedented combination of sanctions in 2022, which created default risks of ...
S. A. Perekhod +3 more
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Istanbul Business Research, 2021 International investors should have a pioneering knowledge of the country’s risk level before investing their savings in a country. For this purpose, Credit Default Swap (CDS) Agreements that serve as insurance against investor’s risk of not collecting ...
Nuri Avşarlıgil, Emre Turgut
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