and the Swiss franc, and are hence less susceptible to crash risk. In line with that, standard pricing factors of …

sovereign to corporate credit risk in Europe. A ten percent increase in sovereign credit risk raises corporate credit risk on … sovereign to corporate risk transfer …

in our sample is affected by global risk aversion, regional contagion, the level of international reserves, foreign …

do when global risk aversion is high, as estimates are imprecise and often not stable or robust. This suggests caution in …

, incorporates a link between liquidity risk and solvency risk, and is tailored for emerging market features. The stress-testing tool …

We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the … fixed and time varying LGD, and we use these values to analyze the sovereign credit risk of Polish debt throughout the … crisis. The highest PD is in the months following the collapse of Lehman Brothers. The derived measures of sovereign risk are …

We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the … fixed and time varying LGD, and we use these values to analyze the sovereign credit risk of Polish debt throughout the … crisis. The highest PD is in the months following the collapse of Lehman Brothers. The derived measures of sovereign risk are …

How does global risk impact the world economy? In taking up this question, we focus on the dollar’s role in the … global risk shocks in a Bayesian Proxy VAR model. They cause a synchronized contraction of global economic activity and … illustrate through counterfactuals that the dollar appreciation amplifies the adverse impact of global risk shocks outside of the …