Results 1 to 10 of about 998 (115)

Sovereign default network and currency risk premia. [PDF]

Financ Innov, 2023
We construct a sovereign default network by employing high-dimensional vector autoregressions obtained by analyzing connectedness in sovereign credit default swap markets.
Yang L, Yang L, Cui X.
europepmc   +2 more sources

African sovereign risk premia and international market assets: A relook under the COVID-19 outbreak. [PDF]

Heliyon
Using the wavelet multiscale coherence technique, the paper examines the interdependences between global market assets, sovereign credit default swap (CDS) and yield-to-maturity on bond spread for African economies from January 2019 to March 2023.
Amewu G, Akosah NK, Armah M.
europepmc   +2 more sources

Does BRRD mitigate the bank-to-sovereign risk channel? [PDF]

PLoS One
We investigate the effectiveness of the Bank Recovery and Resolution Directive (BRRD) in mitigating the transmission of credit risk from banks to their sovereign, using CDS spreads to capture bank and sovereign credit risk for a sample of 43 banks in 8 ...
Lamers M, Present T, Soenen N, Vennet RV.   +3 more
europepmc   +2 more sources

Sovereign Credit Risk Rating: Examining the Relations between Domestic Economy Data and the Probability of Default

İktisat Politikası Araştırmaları Dergisi, 2021
Sovereign credit ratings have gained importance in financial markets. Sovereign ratings have the function of providing necessary information in a common language between market participants who need funds and investors.
Merve Kırkıl
doaj   +1 more source

Does climate change affect sovereign credit risk? International evidence

Borsa Istanbul Review, 2023
This paper fills a crucial research gap by investigating the connection between climate change and sovereign credit risk. While the economic implications of climate risk have long been acknowledged, limited attention has been given to understanding its ...
Nader Naifar
doaj   +1 more source

Mapping of sovereign risks in small island economies: An application of contingent claim approach to fiji

Cogent Economics & Finance, 2020
While a decline in the market value of sovereign assets (below a benchmark level of liabilities) can trigger sovereign distress/default risk, volatility in sovereign assets can increase the risk premium on domestic debt and credit spread on external debt.
Devendra Kumar Jain, Rup Singh, Arvind Patel   +2 more
doaj   +1 more source

EVOLUTION OF FINANCIAL CONTAGION IN THE CONTEXT OF THE EUROPEAN DEBT CRISIS

Финансы: теория и практика, 2017
This paper aims to study changes in the effect of financial contagion in the Eurozone during the European DebtCrisis. The results of the study show that the strength of institutional connections on the interbank level had decreased, while on the ...
V. E. Rasskazov
doaj   +1 more source

Sovereign Wealth Funds, Sovereign Risk, and External Financing Costs of Financial Intermediaries [PDF]

Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2018
This paper takes a novel perspective in analyzing theoretically how the sovereign wealth funds (SWFs) would impact on the sovereign risk, and thereby, the financial sector and, due to some frictions, the real sector of its owner economy.
mohammad feghikashani, Parvin Yahyavi
doaj   +1 more source

Determinants of government bond spreads in European transition economies and implications for small and medium enterprises

Management : Journal of Contemporary Management Issues, 2023
Given the need for transition economies to finance some of the investment required for development through borrowing, this paper empirically examines the determinants of government bond spreads, focusing on institutional quality as a contextual dimension.
Berat Havolli
doaj   +1 more source

A new estimation technique of sovereign default risk

Central Bank Review, 2016
Using the fixed-point theorem, sovereign default models are solved by numerical value function iteration and calibration methods, which due to their computational constraints, greatly limits the models' quantitative performance and foregoes its country ...
Mehmet Ali Soytaş, Engin Volkan
doaj   +1 more source