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The Debate on Sovereign Risk, Safe Assets and the Risk-Free Rate : What are Possible Implications for Sovereign Issuers?

Blommestein, Hans J. - 2013

This paper seeks to eliminate or reduce confusions about (related) key concepts such as the risk free rate, safe assets and sovereign risk in policy and academic discussions. A lack of consensus and confusions on how to define, measure and price “sovereign risk” is an important obstacle in...

Persistent link: https://www.econbiz.de/10013083358

Uncertainty Premia, Sovereign Default Risk, and State-Contingent Debt

Roch, Francisco; Roldán, Francisco - 2022

for the commonly used threshold state-contingent bond structure (e.g., the GDP-linked bond issued by Argentina in 2005 …

Persistent link: https://www.econbiz.de/10014030625

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/10010509332

External and Public Debt Crises

Arellano, Cristina - 2015

The recent debt crises in Europe and the U.S. states feature similar sharp increases in spreads on government debt but also show important differences. In Europe, the crisis occurred at high government indebtedness levels and had spillovers to the private sector. In the United States, state...

Persistent link: https://www.econbiz.de/10013019390

Evaluation and Comparison of Market and Rating Based Country Default Risk Assessment

Maltritz, Dominik - 2010

We compare two different approaches to assess country default risk by evaluating their forecast accuracy. In particular we analyze whether market based or rating based risk assessment is superior. To evaluate the forecast accuracy we analyze the differences between several default risk measures...

Persistent link: https://www.econbiz.de/10013144733

Banking regulation with risk of sovereign default

D'Erasmo, Pablo N.; Livshits, Igor; Schoors, Koen - 2019

evidence in support of the key mechanism we are highlighting, drawing on the experience of Russia in the run-up to its 1998 …

Persistent link: https://www.econbiz.de/10012058909

Risk framework analysis in the management of sovereign debt : the Argentine case

Delfau, Emiliano - 2018

The main objective of this paper is to develop a practical approach to Argentina's sovereign risk management. Through … term structure estimation method called Nelson and Siegel. For Argentina we generated two yield curves, i.e., sets of fixed …

Persistent link: https://www.econbiz.de/10011879381

To Err is Human : Rating Agencies and the Interwar Foreign Government Debt Crisis

Flandreau, Marc - 2011

During the 1930s, rating agencies took up a central role in regulatory supervision that they still have today. The proximate cause for this changeover was the economic shock of the Great Depression. Exploring the performance of rating agencies in assessing the risks of sovereign debt, an...

Persistent link: https://www.econbiz.de/10013131572

To Err is Human : Rating Agencies and the Interwar Foreign Government Debt Crisis

Flandreau, Marc - 2014

Persistent link: https://www.econbiz.de/10013067925

Do enhanced collective action clauses affect sovereign borrowing costs?

Chung, Kay; Papaioannou, Michael G. - In: Journal of banking and financial economics 1 (2021) 15, pp. 59-87

This paper analyzes the effects of including collective action clauses (CACs) and enhanced CACs in international (nondomestic law-governed) sovereign bonds on sovereigns’ borrowing costs, using secondary-market bond yield spreads. Our findings indicate that inclusion of enhanced CACs,...

Persistent link: https://www.econbiz.de/10012887842