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2019
This chapter begins by defining sovereign default. It proceeds to untangle several common forms of default, including unilateral and negotiated default, and default that results in principal haircuts and payment reprofiling, and offers a clear taxonomy of default, using real-world examples when needed.
Julianne Ams +3 more
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This chapter begins by defining sovereign default. It proceeds to untangle several common forms of default, including unilateral and negotiated default, and default that results in principal haircuts and payment reprofiling, and offers a clear taxonomy of default, using real-world examples when needed.
Julianne Ams +3 more
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Sovereign defaults by currency denomination
Journal of International Money and Finance, 2014This paper explores the drivers of sovereign defaults in 100 countries over the period 1996-2012. We build a new data set of sovereign defaults and find that default events on local and foreign currency bonds are equally likely. However, governments default under different economic and financial conditions depending on the currency in which bonds are ...
Jeanneret, Alexandre, Souissi, Slim
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Sovereign Defaults and Democracy
Comparative Economic Studies, 2018This paper examines the effect of state default on political regime and shows that state defaults are associated with autocratic polity changes. Using a dataset of 105 countries from 1824 to 2004, we find that a state default leads to a statistically significant decline in the level of democracy, as measured by the Polity IV index.
Antonis Adam, Kostas Karanatsis
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2014
Chapter 3 investigates how some investors have been able to interfere with the debtor’s economic policy by insisting that measures be taken to reduce the risk of default in the short and medium term. Such interference can be direct or may be more subtle.
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Chapter 3 investigates how some investors have been able to interfere with the debtor’s economic policy by insisting that measures be taken to reduce the risk of default in the short and medium term. Such interference can be direct or may be more subtle.
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Sovereign default risk assessment
International Journal of Banking, Accounting and Finance, 2013We propose a new approach toward assessing sovereign risk by examining rigorously the health and aggregate default risk of a nation's private corporate sector. Models can be utilised to measure the probability of default of the non-financial sector cumulatively for five years, both as an absolute measure of corporate risk vulnerability and a relative ...
Rijken, H.A., Altman, E.I.
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2017
Sovereign borrowing and debt default have long been a part of a nation’s existence. Sovereign debt defaults (that is, the suspension of interest or principal payment on due debt) were common from the sixteenth century, when Edward III declared a default after military defeat in 1340, to the nineteenth century, when Latin American countries defaulted on
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Sovereign borrowing and debt default have long been a part of a nation’s existence. Sovereign debt defaults (that is, the suspension of interest or principal payment on due debt) were common from the sixteenth century, when Edward III declared a default after military defeat in 1340, to the nineteenth century, when Latin American countries defaulted on
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Identifying Sovereign Defaults
2014Chapter 1 examines the key concepts used throughout the book. This chapter discusses why the notion of “creditworthiness” is better suited than those of “solvency” and “bankruptcy” for explaining sovereign risk and goes on to show that the risk of sovereign default depends on the country’s ability and willingness to pay. Next, Chap.
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Joint Default Probabilities and Sovereign Risk
International Interactions, 2007The assessment of sovereign risk is of crucial importance for international lenders and investors. Many existing sovereign risk approaches are opaque and heavily rely on subjective choices. In general, they lack a theoretical basis. To assess sovereign risk, we use the Merton model in which a loan defaults if the value of a firm's assets falls below ...
Scholtens, Bert, Hameeteman, Daphne
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Democracies and sovereign default
2012Sovereign defaults are a relatively common feature of (international) financial markets. They highlight the credibility problem in lending to governments: Creditors have no feasible means to enforce repayment of debts. Nevertheless, lending to countries takes place.
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Sovereign credit default swaps
BIS Quarterly Review, 2003This paper focuses on the sovereign segment of the credit default swap (CDS) market, examining data covering several years of quotes and trades from an important CDS inter-dealer broker. Compared to corporate or bank CDSs, sovereign CDSs are concentrated in fewer names and in contracts with reference assets of relatively short maturity, apparently a ...
Frank Packer, Chamaree Suthiphongchai
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