Results 1 to 10 of about 173,040 (300)
PRICING SOVEREIGN CONTINGENT CONVERTIBLE DEBT [PDF]
International Journal of Theoretical and Applied Finance, 2016 We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign’s Credit Default Swap (CDS) spread. We model CDS spread regime switching, which is prevalent during crises, as a hidden Markov process, coupled with a mean-reverting stochastic process of spread levels under fixed regimes, in
Consiglio, Andrea +5 more
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Sovereign debt: Do we need an EU solution? Bertelsmann Stiftung EUROPA Briefing 2017 [PDF]
, 2017 High levels of sovereign debt have become a serious issue in the Eurozone. This does not just affect the individual member states: The European debt crisis has shown that difficulties in one euro-area country can spread to the entire currency union. What
Haas, Jörg
core
The linkage between banking crisis and sovereign debt crisis: Evidence from Ghana
Research in GlobalizationThis study investigates the effect of the recent Ghanaian banking crisis on the country’s ongoing sovereign debt crisis. An Autoregressive Distributed Lag Model (ARDL) is adopted to estimate the immediate effects of Ghana’s banking crisis on public debt ...
David Marfo-Ahenkorah +2 more
doaj +1 more source
Repudiation and Repression: The Human Costs of Sovereign Default
Social Sciences, 2023 Sovereign default has myriad economic and political consequences. Existing research, however, has not explored the human costs of sovereign default, though some link the fiscal flexibility afforded by sovereign creditworthiness to improved human rights ...
Stephen Bagwell
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Systemic Risk in the European Union: A Network Approach to Banks’ Sovereign Debt Exposures
International Journal of Financial Studies, 2015 This paper draws on network theory to investigate European banks’ sovereign debt exposures. Banks’ holdings of sovereign debt build a network of financial linkages with European countries that exhibits a long-tail distribution of node degrees.
Annika Westphal
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REFLECTIONS ON THE CONSEQUENCES AND RISKS OF AN ECONOMY’S INDEBTEDNESS [PDF]
Financial Studies, 2021 The paper aims to present some risks and consequences of the indebtedness of an economy. The article is based on the results of a research project1 and it describes the negative effects of a high level of indebtedness of an economy, the elements that ...
Camelia MILEA
doaj
Domestic and External Sovereign Debt [PDF]
SSRN Electronic Journal, 2017 AbstractWe develop a model that features costly market segmentation and financial repression to link domestic and external sovereign debt with default. In a financially repressed economy, a government that exploits its market power in the domestic economy can also increase its external debt capacity, owing to a novel, additional endogenous cost of ...
Di Casola, Paola, Sichlimiris, Spyridon
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Moneta e Credito, 2012 The paper reviews the area of the international financial architecture relating to sovereign crisis resolution. It is argued that shifting part of the burden of crisis resolution onto creditors may encourage debtor countries to take early action to ...
Curzio Giannini
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Maturity, Indebtedness, and Default Risk [PDF]
We present a novel and tractable model of long-term sovereign debt. We make two sets of contributions. First, on the substantive side, using Argentina as a test case we show that unlike one-period debt models, our model of long-term sovereign debt is ...
Burcu Eyigungor, Satyajit Chatterjee
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Risks, 2021 The major focus of this paper is on the sovereign–banks relationship following the COVID-19 pandemic crisis outbreak, with a view to gaining an insight into banks’ exposure to the sovereign.
Iustina Alina Boitan +1 more
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