We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by … credit risk during the period of the recent financial crisis. …

financial institutions (LCFIs). To estimate the multifactor latent structure, we link the market risk (the covariance of the … LCFIs' equity) to credit risk (the default probability of the CDS basket) in a coherent manner. In addition, to analyze the … relevant sources of risk. We anticipate that this approach could be of value to financial supervisors and risk managers alike. …

Sizable risk capital from outside may be necessary to accelerate Japan's corporate restructuring to replace the stock … of impaired bank loans. To attract risk capital, impaired loans must find market-clearing prices. However, the asymmetry …

systemic risk in the corporate and financial sectors, as well as systemic sovereign risk; and is also forward looking as it is … END to assess systemic risk in the corporate sector in Korea, Malaysia, and Thailand. We also discuss how the END systemic … risk indicator overcomes some of the shortcomings of other vulnerability indicators. …

it comes to rank ordering default risk among sovereigns, there is evidence of rating stability failure during the recent …