Results 11 to 20 of about 5,547,723 (304)
Sovereign Bond Risk Premiums [PDF]
SSRN Electronic Journal, 2013 Credit risk has become an important factor driving government bond returns. We therefore introduce an asset pricing model which exploits information contained in both forward interest rates and forward CDS spreads. Our empirical analysis covers euro-zone countries with German government bonds as credit risk-free assets.
Dockner, Engelbert J. +2 more
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SSRN Electronic Journal, 2014 We provide a new measure of sovereign country risk exposure (SCRE) to global sovereign tail risk based on information incorporated in 5-year sovereign CDS spreads. Our panel regressions with quarterly data from 53 countries show that macro risks have strong explanatory power for SCRE.
Germán López-Espinosa +3 more
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The Zero Risk Fallacy? Banks' Sovereign Exposure and Sovereign Risk Spillovers [PDF]
SSRN Electronic Journal, 2017 European banks are exposed to a substantial amount of risky sovereign debt. The “missing bank capital” resulting from the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border financial-crisis spillovers.
Kirschenmann, Karolin +2 more
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A HEALTHY DOSE OF PESSIMISM? INFLUENCE OF THE UKRAINIAN ECONOMY ON ITS BANKING SECTOR CREDIT RATINGS [PDF]
Baltic Journal of Economic Studies, 2017 The purpose of the research is to identify the influence of Ukraine’s economic development on the international agencies' credit rating of its banking system. The instability and ambiguous geopolitical position of Ukraine are complicating any predictions
Svitlana Pokrason
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Sovereign Risk and Bank Fragility [PDF]
SSRN Electronic Journal, 2020 We develop a model of bank risk-taking with strategic sovereign default risk. Domestic banks invest in real projects and purchase government bonds. While an increase in bond purchases crowds out profitable investments, it improves the government's incentives to repay and therefore lowers its borrowing costs.
Anand, Kartik, Mankart, Jochen
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What drives sovereign debt maturity in European countries? [PDF]
Panoeconomicus, 2018 The aim of this paper is to study the determinants of sovereign debt maturity for 23 European countries during the period between 1995 and 2013. For this purpose, we use quantile regressions with robust standard errors clustered by countries to consider ...
González-Fernández Marcos +1 more
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Bond Yields, Sovereign Risk and Maturity Structure
Risks, 2018 The aim of this paper is to analyze the relation between maturity structure, sovereign bond yields and sovereign risk in the Economic and Monetary Union for the period of 1990–2013.
Marcos González-Fernández +1 more
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U.S. National Debt- A Risk Management Approach [PDF]
Westcliff International Journal of Applied Research, 2019 The U.S. national debt reached the astounding figure of 22 trillion dollars in 2018 (Gomes & Sinclair, 2019). It splashed onto the headlines of newspapers and became a topic of interest for Nobel laureate economists, dividing opinions on the potential ...
Denise Ginzo, Simin Hojat
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Sovereign Risk and Secondary Markets [PDF]
American Economic Review, 2006 Conventional wisdom says that, in the absence of default penalties, sovereign risk destroys all foreign asset trade. We show that this conventional wisdom rests on one implicit assumption: that assets cannot be retraded in secondary markets. Without this assumption, foreign asset trade is possible even in the absence of default penalties.
Fernando Broner +2 more
openaire +6 more sources
Frontiers in Applied Mathematics and Statistics, 2016 We propose a multi-factor Gaussian model to analyze the dynamicsof sovereign bond yields, as well as sovereign and banks CDS quotes. This paperhas three objectives (all of them with relevant implications from a supervisoryperspective): (1) disentangling ...
Michele Leonardo Bianchi, Marco Rocco
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