Results 41 to 50 of about 325,613 (161)

Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work?

Entropy, 2020
The purpose of the paper is to investigate the relationship between sovereign Credit Default Swap (CDS) and stock markets in nine emerging economies from Central and Eastern Europe (CEE), using daily data over the period January 2008−April 2018 ...
Sorin Gabriel Anton, Anca Elena Afloarei Nucu   +1 more
doaj   +1 more source

Sovereign risk in a structural approach: Evaluating sovereign ability-to-pay and probability of default [PDF]

We quantify the probability that a sovereign defaults on repayment obligations in foreign currency. Adopting the structural approach as first introduced by Merton, we consider the sovereigns ability-to-pay, characterised by the sum of discounted future ...
Maltritz, Dominik, Karmann, Alexander
core  

Equilibrium default cycles [PDF]

, 2007
This paper analyzes Markov equilibria in a model of strategic lending in which (i) agents cannot commit to long‐term contracts, (ii) contracts are incomplete, and (iii) incumbent lenders can coordinate their actions.
Kovrijnykh, Natalia, Balázs Szentes, Szentes, Balázs, Kovrijnykh, N., Natalia Kovrijnykh, Szentes, B., Balázs Szentes   +6 more
core   +1 more source

Is There a Connection between Sovereign CDS Spreads and the Stock Market? Evidence for European and US Returns and Volatilities

Mathematics, 2020
This study complements the current literature, providing a thorough investigation of the lead–lag connection between stock indices and sovereign credit default swap (CDS) returns for 14 European countries and the US over the period 2004–2016.
Laura Ballester, Ana González-Urteaga
doaj   +1 more source

Asymmetric Shocks, Long-term Bonds and Sovereign Default [PDF]

We present a sovereign default model with asymmetric shocks and long-term bonds, and solve the model using discrete state dynamic programming. As result, our model matches the Argentinean economy over period 1993Q1-2001Q4 quite well.
Zhu, Junjun, Xie, Shiyu
core  

Default Costs, Willingness to Pay and Sovereign Debt Buybacks [PDF]

The arguments put forward by Bulow and Rogoff (1988, 1991) against sovereign debt buybacks are re-examined in a willingness-to-pay framework. This paper argues that the Bulow-Rogoff framework treats default by a debtor as an event with no dead-weight ...
Jonathan P. Thomas
core  

Boon or Burden? The Effect of Private Sector Debt on the Risk of Sovereign Default in Developing Countries [PDF]

We explore how the share of the private sector in total external debt affects perceived creditworthiness and the likelihood of sovereign default in developing countries.
Harms, Philipp, Celasun, Oya
core  

Sovereign Debt: Default, Market Sanction, and Bailout [PDF]

This paper explores the case of a sovereign indebted country facing a choice of economic policy today that will determine the country's ability to continue its debt servicing in the future.
Paulo Augusto P. de Britto
core  

Sovereign Default Analysis through Extreme Events Identification

Management Dynamics in the Knowledge Economy, 2015
This paper investigates contagion in international credit markets through the use of a novel jump detection technique proposed by Chan and Maheuin (2002).
Vasile George MARICA, Lucian Claudiu ANGHEL   +1 more
doaj  

Sovereign Risk and Lending Behavior of Banking Industry: Evidence from Turkey’s Credit Market

Maliye ve Finans Yazıları
This study examines how sovereign risk influences Turkish commercial banks' lending behavior, focusing on asymmetric effects in commercial loan pricing.
Osman Altay
doaj   +1 more source