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An analysis of the informational value of sovereign credit ratings

Lim, Kok-Tiong; Teng, Kwek Kian - In: Malaysian journal of economic studies 58 (2021) 1, pp. 85-97

Persistent link: https://www.econbiz.de/10013258847

Financial risk management and climate change risk

Scalia, Antonio - In: Financial Risk Management and Climate Change Risk : The …, (pp. 1-11). 2023

Persistent link: https://www.econbiz.de/10014369593

Accounting for sovereign tail risk in emerging economies : the role of global and domestic risk factors

Fong, Tom; Li, Ka-Fei; Fu, John - 2015

Persistent link: https://www.econbiz.de/10012200130

The relative pricing of sovereign credit risk after the Eurozone crisis

Corvino, Raffaele; Ruggiero, Francesco - In: Journal of international money and finance 112 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10012797600

Covid-19, sovereign risk and monetary policy : evidence from the European Monetary Union

Karaman, Seçil Yıldırım - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 3, pp. 99-107

This paper investigates the impact of Covid-19 pandemic and monetary policy measures adopted by the European Central Bank (ECB) on the sovereign risk for the European Monetary Union (EMU) countries for the period between March-2020 and November-2020 using daily data. The impact of Covid-19 and...

Persistent link: https://www.econbiz.de/10013407190

Measuring connectedness of Euro area sovereign risk

Gätjen, Rebekka; Schienle, Melanie - 2015

We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...

Persistent link: https://www.econbiz.de/10010503874