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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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Journal of International Economic Law
Abstract Sovereign governments are increasingly turning to sukuk (sharia-compliant investment certificates) to meet their growing financing needs. However, the potential treatment of sukuk during a sovereign debt default remains a black box. This article addresses that gap through a detailed examination of the terms of recently issued
Ali Hakim, Reza Baqir
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Abstract Sovereign governments are increasingly turning to sukuk (sharia-compliant investment certificates) to meet their growing financing needs. However, the potential treatment of sukuk during a sovereign debt default remains a black box. This article addresses that gap through a detailed examination of the terms of recently issued
Ali Hakim, Reza Baqir
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Reputation and sovereign default
2016This thesis has two central contributions. One is economic; it explains the behavior of sovereign interest rates after a default. The other contribution is principally technical; it defines and provides an accurate closed-form approximation to a common filtering problem.
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Protecting Against Sovereign Defaults
2014Chapter 2 analyzes the various means used by creditors to mitigate sovereign risk well in advance – that is, when countries issue bonds, sign loan agreements, or are at an early stage of their borrowing cycle. Section 2.1 looks at sovereign bond and loan covenants: it presents the clauses that enable creditors to enforce contracts, secure repayment ...
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