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Sovereign default network and currency risk premia
Yang, Lu; Yang, Lei; Cui, Xue - In: Financial innovation : FIN 9 (2023) 1, pp. 1-22
We construct a sovereign default network by employing high-dimensional vector autoregressions obtained by analyzing connectedness in sovereign credit default swap markets. We develop four measures of centrality, namely, degree, betweenness, closeness, and eigenvector centralities, to detect...
Persistent link: https://www.econbiz.de/10014289115
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Modelling sovereign credit spreads with international macro-factors : the case of Brazil 1998 - 2009
Liu, Zhuoshi; Spencer, Peter D. - In: Journal of banking & finance 37 (2013) 2, pp. 241-256
Persistent link: https://www.econbiz.de/10009705703
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Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets
Hui, Cho H.; Lo, Chi-Fai; Chau, Po-Hon - In: The North American journal of economics and finance : a … 44 (2018), pp. 109-128
Persistent link: https://www.econbiz.de/10012036515
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Fundamentals, real-time uncertainty and CDS index spreads
Audzeyeva, Alena; Wang, Xu - In: Review of quantitative finance and accounting 61 (2023) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10014341007
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State-varying illiquidity risk in sovereign bond spreads
Docherty, Paul; Easton, Steve - In: Pacific-Basin finance journal 50 (2018), pp. 235-248
Persistent link: https://www.econbiz.de/10012033797
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Interest rate uncertainty and sovereign default risk
Johri, Alok; Khan, Shahed; Sosa Padilla, César - In: Journal of international economics 139 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10014281820
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Implied volatility term structure and exchange rate predictability
Ornelas, José Renato Haas; Mauad, Roberto Baltieri - In: International journal of forecasting 35 (2019) 4, pp. 1800-1813
Persistent link: https://www.econbiz.de/10012305531
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New Discrete Time Affine Models to Price Sovereign Credit Risk
Realdon, Marco - 2023
) processes. The evidence shows that all tested ARP models fit and predict sovereign CDS prices and their volatility very … level, but not the volatility, of sovereign CDS prices than two factor ARP models …
Persistent link: https://www.econbiz.de/10014350555
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Sovereign Credit Spreads : A Bailout Model with PSI
Baglioni, Angelo S. - 2015
We provide a model able to compute a threshold level for the public debt/GDP ratio, such that a country can be rescued by an official lender (e.g. ESM or IMF). The critical level is defined as the maximum level of debt/GDP, such that it is still possible to put the debt/GDP ratio on a...
Persistent link: https://www.econbiz.de/10013027940