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Sovereign risk in a structural approach: Evaluating sovereign ability-to-pay and probability of default

Karmann, Alexander; Maltritz, Dominik - 2003

demonstrate for the case of Latin America and Russia that our approach indicates default events well in advance of agencies and …

Persistent link: https://www.econbiz.de/10010305443

Default-risky Sovereign Debt

Wiggers, Andreas - 2002

Not only corporate but also sovereign debtors, in particular developing countries, may get into financial difficulties. Contrary to corporate issuers, they decide themselves if they continue to fulfill their debt obligations or convert their debt. I analyze the value of a default-risky sovereign...

Persistent link: https://www.econbiz.de/10010263080

Country Default Probabilities: Assessing and Backtesting

Vogl, Konstantin; Maltritz, Dominik; Huschens, Stefan; … - 2006

We address the problem how to estimate default probabilities for sovereign countries based on market data of traded debt. A structural Merton-type model is applied to a sample of emerging market and transition countries. In this context, only few and heterogeneous default probabilities are...

Persistent link: https://www.econbiz.de/10010296810

The heterogeneity of default costs: Evidence from recent sovereign debt crises

Jorra, Markus - 2011

This paper examines the costs of recent sovereign defaults using synthetic control methods, a novel econometric technique based on comparative case studies. Evidence on the effects of debt crises is thus presented on a case-by-case basis, uncovering large variations in country-specific...

Persistent link: https://www.econbiz.de/10010286413

Allianzen zur Wiederherstellung internationaler Zahlungsfähigkeit: Ein Modell für Argentinien?

Sell, Friedrich L. - 2003

Argentinien hat im Januar 2002 seine Zahlungsunfähigkeit erklärt und hofft seitdem auf neue Kredite des IWF. Anders als …Argentina has defaulted on its external debt on January, 2002. The country hopes for "fresh money" from the IMF … distribution of tax income. These issues can be modelled based on the theory of alliances, where the provinces and the central …

Persistent link: https://www.econbiz.de/10010300408

The information content of Hungarian sovereign CDS spreads

Varga, Lóránt - 2009

In our paper we present how the Hungarian credit default swap (CDS) market functions, and indicate its position in the global credit derivatives markets. Our primary goals are to glean some information from the CDS spreads about Hungary's credit risk, and to determine the role of the Hungarian...

Persistent link: https://www.econbiz.de/10010322419

Foreign aid and developing countries' creditworthiness

Harms, Philipp; Rauber, Michael - 2004

We explore whether foreign aid affects developing countries' creditworthiness, as proxied by the Institutional Investor's measure of country credit risk. Based on a simple model of international borrowing and lending, we develop the hypothesis that current aid reduces the likelihood of future...

Persistent link: https://www.econbiz.de/10011430049

Cousin risks: the extent and the causes of positive correlation between country and currency risks

Lowenkron, Alexandre; Garcia, Márcio - 2005

Persistent link: https://www.econbiz.de/10011807332

How does private foreign borrowing affect the risk of sovereign default in developing countries?

Celasun, Oya; Harms, Philipp - 2007

We argue that increased foreign borrowing by the private sector reduces the risk that a developing country's government defaults on its foreign debt. We present a simple model in which private foreign borrowing reflects a surge of private entrepreneurship. A larger "entrepreneurial class" raises...

Persistent link: https://www.econbiz.de/10011430065

Sovereign risk: A macro-financial perspective

Das, Udaibir S.; Oliva, Maria A.; Tsuda, Takahiro - 2012

We examine some of the macro-financial dimensions of sovereign risk and propose a conceptual framework that captures risks other than just the default risk. Morphed under a multi-dimensional notion of sovereign risk, we argue that the existing empirical methodologies to measure sovereign risk...

Persistent link: https://www.econbiz.de/10010397353

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