Results 271 to 280 of about 5,726,311 (302)

Joint Default Probabilities and Sovereign Risk

International Interactions, 2007
The 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 ...
Bert Scholtens
exaly   +2 more sources

Sovereign default risk assessment

International Journal of Banking, Accounting and Finance, 2013
We 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 ...
Edward I Altman
exaly   +3 more sources

The impact of bailouts on political turnover and sovereign default risk [PDF]

Journal of Economic Dynamics and Control, 2021
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Almuth Scholl
exaly   +4 more sources

Sovereign default risk and volatility

Economics Letters, 2012
Abstract In a model of sovereign debt with endogenous default, we find a non-monotonic relationship between default risk and volatility, reflecting a trade-off between prudence and the insurance value of default. We show that this feature also holds in the data.
openaire   +1 more source

Ricardian Equivalence and Sovereign Default Risk

SSRN Electronic Journal, 2017
We study the impact of sovereign default risk on the private–public savings offset. Using data on 80 countries for the period 1989–2010, we find robust evidence for a U-shaped pattern in the private–public savings offset in foreign currency sovereign credit ratings.
Stefan Eichler, Ju Hyun Pyun
openaire   +1 more source

Sovereign Risk after Sovereign Restructuring. Private and Official Defaults

SSRN Electronic Journal, 2019
This paper studies the relationship between sovereign debt default and sovereign credit risk by taking into account the depth of a debt restructuring and by distinguishing between commercial and official debt. We take different proxies for credit risk measures, such as rating agencies and institutional investors’ratings as well as bond yield spreads ...
Silvia Marchesi, Tania Masi
openaire   +1 more source

Sovereign Default Risk in a Monetary Union [PDF]

, 2010
A country entering a monetary union gives up the right to determine its own monetary policy, thereby relinquishing monetary instruments to assure fiscal solvency. In this paper, we develop a new theoretical model to address fiscal solvency risk. We show that when debt is subject to an upper bound and policy faces stochastic shocks, a government can ...
Betty C. Daniel, Christos Shiamptanis
openaire  

Inequality, Taxation, and Sovereign Default Risk

American Economic Journal: Macroeconomics, 2019
Income inequality and worker migration significantly affect sovereign default risk. Governments often impose progressive taxes to reduce inequality, which redistribute income but discourage labor supply and induce emigration. Reduced labor supply and a smaller high-income workforce erode the current and future tax base, reducing government’s ability ...
openaire   +1 more source

Sovereign default and the sustainability risk premium effect

Journal of Development Economics, 2005
Abstract We analyze the joint determination of interest rate risk and debt sustainability for governments with fiscal imbalances. Because higher interest rates imply increased debt services, they worsen the government's financial situation and increase the probability of sovereign default.
Michael Akemann, Fabio Kanczuk
openaire   +1 more source

Sovereign default risk premia: Evidence from the default swap market

Journal of Empirical Finance, 2009
This study explores the risk premia embedded in sovereign default swaps using a term structure model. The risk premia remunerate investors for unexpected changes in the default intensity. A number of interesting results emerge from the analysis. First, the risk premia contribution to the spreads decreases over the sample, 2003-2007, and rebounds at the
openaire   +1 more source