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Bank and sovereign debt risk connection : [draft december 2012] [PDF]
, 2012 Euro area data show a positive connection between sovereign and bank risk, which increases with banks’ and sovereign long run fragility. We build a macro model with banks subject to incentive problems and liquidity risk (in the form of liquidity based ...
Darracq Pariès, Matthieu +2 more
core +1 more source
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 +2 more
doaj +1 more source
How does sovereign bond volatility interact between African countries? [PDF]
Seonmul yeongu, 2022 The importance of sovereign bond as a source of financing revenue deficit, benchmarking for corporate bonds and debt management in Africa, calls for continual monitoring of its volatility dynamics.
Kalu O. Emenike
doaj +1 more source
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
openaire +2 more sources
Sovereign Risk Contagion [PDF]
, 2017 We develop a theory of sovereign risk contagion based on financial links. In our multi-country model, sovereign bond spreads comove because default in one country can trigger default in other countries. Countries are linked because they borrow, default, and renegotiate with common lenders, and the bond price and recovery schedules for each country ...
Cristina Arellano +2 more
openaire +2 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
doaj +1 more source
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
doaj +1 more source
Sovereign Risk: Constitutions Rule [PDF]
SSRN Electronic Journal, 2004 This paper models the executive's choice of whether to reschedule external debt as the outcome of an intra-governmental negotiation process. The executive's necessity of a confidence vote from the legislature is found to provide the rationale for why some democracies may not renegotiate their foreign obligations.
openaire +3 more sources
The Greek crisis: Causes and implications [PDF]
Panoeconomicus, 2010 This paper presents and critically discusses the origins and causes of the Greek fiscal crisis and its implications for the euro currency as well as the SEE economies.
Vlamis Prodromos, Kouretas Georgios P.
doaj +1 more source
Sovereign to Corporate Risk Spillovers [PDF]
SSRN Electronic Journal, 2016 AbstractThe first Greek bailout on April 11, 2010 triggered a significant reevaluation of sovereign credit risk across Europe. We exploit this event to examine the transmission of sovereign to corporate credit risk. A 10% increase in sovereign credit risk raises corporate credit risk on average by 1.1% after the bailout.
Augustin, Patrick +3 more
openaire +4 more sources