Results 11 to 20 of about 746,632 (385)
How Sovereign is Sovereign Credit Risk? [PDF]
American Economic Journal: Macroeconomics, 2011 We study the nature of sovereign credit risk using an extensive sample of CDS spreads for 26 developed and emerging-market countries. Sovereign credit spreads are surprisingly highly correlated, with just three principal components accounting for more ...
Francis A. Longstaff +3 more
core +5 more sources
Disentangling the information content of government bonds and credit default swaps: An empirical analysis on sovereigns and banks [PDF]
Frontiers in Applied Mathematics and Statistics, 2016 We propose a multi-factor Gaussian model to analyze the dynamicsof sovereign bond yields, as well as sovereign and banks CDS quotes. This paperhas three objectives (all of them with relevant implications from a supervisoryperspective): (1) disentangling ...
Michele Leonardo Bianchi, Marco Rocco
doaj +2 more sources
How connected is the global sovereign credit risk network?
Journal of Banking and Finance, 2020 We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the network structure of global sovereign credit risk.
Kamil Yilmaz
exaly +2 more sources
Sovereign Credit Rating Mismatches
Notas Económicas, 2018 We study the factors behind ratings mismatches in sovereign credit ratings from different agencies, for the period 1980‑‑2015. Using random effects ordered and simple probit approaches, we find that structural balances and the existence of a default in ...
António Afonso, André Albuquerque
doaj +5 more sources
Sovereign Credit Ratings Analysis Using the Logistic Regression Model
Risks, 2022 This study is an empirical analysis of sovereign credit ratings (SCR) in South Africa (SA) using Logistic Regression (LR) to identify their determinants and forecast SCRs.
Oliver Takawira, John W. Muteba Mwamba
doaj +2 more sources
Journal of Risk and Financial Management, 2021 This study examined the tail dependency structure of sovereign credit risk and three global risk factors in BRICS countries using copulas approach, which is known for its ability to provide the “true” tail correlation based on the correct marginal ...
Prayer Rikhotso +1 more
openalex +3 more sources
Journal of International Financial Markets, Institutions and Money, 2021 In order to identify novel qualitative determinants of transitions in sovereign credit ratings, we construct six different textual sentiment and subjectivity measures using dictionary-based, and machine learning approaches on sovereign credit rating ...
Igor Loncarski
exaly +2 more sources
Default, currency crises, and sovereign credit ratings [PDF]
The World Bank Economic Review, 2002 Sovereign credit ratings play an important part in determining countries’ access to international capital markets and the terms of that access. In principle, there is no reason to expect that sovereign credit ratings should systematically predict ...
Reinhart, Carmen
core +8 more sources
Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads
Journal of Financial Economics, 2020 Sovereign CDS quanto spreads—the difference between CDS premiums denominated in U.S. dollars and a foreign currency—tell us how financial markets view the interaction between a country's likelihood of default and associated currency devaluations (the ...
Patrick Augustin +2 more
exaly +2 more sources
Sovereign credit ratings [PDF]
, 2002 Sovereign ratings are gaining importance as more governments with greater default risk borrow in international bond markets. But while the ratings have proved useful to governments seeking market access, the difficulty of assessing sovereign risk has led
Frank Packer, Richard Cantor
core +7 more sources