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The Term Structure of CDS Spreads and Sovereign Credit Risk
Journal of Monetary Economics, 2013 The shape of the term structure of credit default swap spreads is an informative signal about the importance of global and domestic risk factors to the time variation of sovereign credit spreads. Exploiting cross-country heterogeneity among 44 countries,
Patrick Augustin
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Properly pricing country risk: a model for pricing long-term fundamental risk applied to central and eastern European countries [PDF]
Financial Theory and Practice, 2010 The private sector has used proxies such as sovereign credit ratings, spreads on sovereign bonds and spreads on sovereign credit default swaps (CDS) to gauge country risk, even though these measures are pricing the risk of default of government bonds ...
Debora Revoltella +2 more
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The Dynamics of Sovereign Credit Risk
SSRN Electronic Journal, 2011 AbstractThis article proposes a structural model for sovereign credit risk with endogenous sovereign debt and default policies. A maximum-likelihood estimation of the model with local stock market prices generates daily model-implied sovereign spreads.
Alexandre Jeanneret
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Credit rating announcement and bond liquidity: the case of emerging bond markets [PDF]
Journal of Economics Finance and Administrative Science, 2022 Purpose – This study examines the effect of the informational content of local credit rating announcements in emerging markets on the liquidity of their bond markets.
Amir Saadaoui +2 more
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Does Geopolitical Risk Matter for Sovereign Credit Risk? Fresh Evidence from Nonlinear Analysis
Journal of Risk and Financial Management, 2023 The recent geopolitical uncertainty and the alarming increase in the sovereign credit risk of many countries have motivated us to investigate the potential asymmetric co-movement between geopolitical risk and sovereign credit risk for nineteen countries (
Nader Naifar, Shumokh Aljarba
semanticscholar +1 more source
Subjectivity in Sovereign Credit Ratings [PDF]
SSRN Electronic Journal, 2017 Abstract A sovereign creditrating is a function of hard and soft information that should reflect the creditworthiness and the probability of default of a country. We propose an alternative characterisation for the subjective component of a sovereign credit rating – the parts related to the ratee’s lobbying effort or its familiarity from a United ...
De Moor, Lieven +3 more
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Determination of Sovereign Credit Rating Model for European Countries [PDF]
Financial Markets, Institutions and Risks, 2021 Credit rating agencies play a key role in financial markets, as they help to reduce asymmetric information among market participants via credit ratings. The credit ratings determined by the credit rating agencies reflect the opinion of whether a country ...
Isik Akin
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Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques [PDF]
Computational Economics, 2021 Sovereign credit ratings summarize the creditworthiness of countries. These ratings have a large influence on the economy and the yields at which governments can issue new debt.
B. Overes, Michel van der Wel
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Determinants and Impact of Sovereign Credit Ratings [PDF]
SSRN Electronic Journal, 1996 n recent years, the demand for sovereign credit rat-ings—the risk assessments assigned by the creditrating agencies to the obligations of central govern-ments—has increased dramatically. More govern-ments with greater default risk and more companiesdomiciled in riskier host countries are borrowing in inter-national bond markets.
Richard Cantor, Frank Packer
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How does sovereign bond volatility interact between African countries? [PDF]
Seonmul yeongu, 2022 The importance of sovereign bond as a source of financing revenue deficit, benchmarking for corporate bonds and debt management in Africa, calls for continual monitoring of its volatility dynamics.
Kalu O. Emenike
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