Pricing of Sovereign Credit Risk : Evidence From Advanced Economies During the Financial Crisis /

Pricing of Sovereign Credit Risk : Evidence From Advanced Economies During the Financial Crisis /

We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market arbit...

Fuld beskrivelse

Bibliografiske detaljer
Hovedforfatter:	Alper, Emre
Andre forfattere:	Forni, Lorenzo, Gerard, Marc
Format:	Tidsskrift
Sprog:	English
Udgivet:	Washington, D.C. : International Monetary Fund, 2012.
Serier:	IMF Working Papers; Working Paper ; No. 2012/024
Online adgang:	Full text available on IMF

Lignende værker

Euro Area Sovereign Risk During the Crisis /
af: Zoli, Edda
Udgivet: (2009)

Price of Risk : Recent Evidence From Large Financials /
af: Singh, Manmohan
Udgivet: (2010)

Sovereign Risk and Deposit Dynamics : Evidence from Europe /
af: Grigorian, David
Udgivet: (2016)

Sub-National Credit Risk and Sovereign Bailouts : Who Pays the Premium? /
af: Jenkner, Eva
Udgivet: (2014)

Pricing Sovereign Debt in Resource-Rich Economies /
af: McGregor, Thomas
Udgivet: (2019)

Do Interest Rate Controls Work? : Evidence from Kenya /
af: Alper, Emre
Udgivet: (2019)

Sovereign Risk and Bank Risk-Taking /
af: Ari, Anil
Udgivet: (2017)

Sovereign Bond Prices, Haircuts and Maturity /
af: Asonuma, Tamon
Udgivet: (2017)

Sovereign Credit Ratings Methodology : An Evaluation /
af: Bhatia, Ashok
Udgivet: (2002)

Public Debt in Advanced Economies and its Spillover Effectson Long-Term Yields /
af: Alper, Emre
Udgivet: (2011)

Pricing and Hedging Interest & Credit Risk Sensitive Instruments
af: Frank Skinner
Udgivet: (2005)

Pricing and Hedging Interest & Credit Risk Sensitive Instruments
af: Frank Skinner
Udgivet: (2005)

Bank Credit, Asset Prices and Financial Stability : Evidence From French Banks /
af: Pouvelle, Cyril
Udgivet: (2012)

The Pricing of Credit Default Swaps During Distress /
af: Singh, Manmohan
Udgivet: (2006)

Financial Crises, Sovereign Risk and the Role of Institutions
Udgivet: (2013)

Impact of country risk & sovereign credit rating on corporate bond yields of Singapore
af: Nath, Bappy Kumar
Udgivet: (2021)

Credit Risk
af: Andrew Kimber
Udgivet: (2004)

Credit Risk
af: Andrew Kimber
Udgivet: (2004)

Debt Dilution and Sovereign Default Risk /
af: Martinez, Leonardo
Udgivet: (2011)

Non-Defaultable Debt and Sovereign Risk /
af: Hatchondo, Juan Carlos
Udgivet: (2014)

Sovereign Spreads and Contagion Risks in Asia /
af: Unsal, Filiz
Udgivet: (2011)

Risk Management of Sovereign Assets and Liabilities /
af: Cassard, Marcel
Udgivet: (1997)

Crisis-Related Measures in the Financial System and Sovereign Balance Sheet Risks.
Udgivet: (2009)

Policy Credibility and Sovereign Credit : The Case of New EU Member States /
af: Kumar, Manmohan
Udgivet: (2007)

Measuring Sovereign Risk in Turkey : An Application of the Contingent Claims Approach /
af: Keller, Christian
Udgivet: (2007)

Fintech Credit Risk Assessment for SMEs : Evidence from China /
af: Huang, Yiping
Udgivet: (2020)

Sovereign Risk and Asset and Liability Management : Conceptual Issues /
af: Das, Udaibir
Udgivet: (2012)

Advanced Derivatives Pricing and Risk Management
af: Claudio Albanese, Giuseppe Campolieti
Udgivet: (2006)

Advanced Derivatives Pricing and Risk Management
af: Claudio Albanese, Giuseppe Campolieti
Udgivet: (2006)

Risk Neutral Pricing and Financial Mathematics
af: Knopf, Peter
Udgivet: (2015)

Risk Neutral Pricing and Financial Mathematics
af: Knopf, Peter
Udgivet: (2015)

Financial Innovation, the Discovery of Risk, and the U.S. Credit Crisis /
af: Mendoza, Enrique
Udgivet: (2010)

Sovereign Rating News and Financial Markets Spillovers : Evidence from the European Debt Crisis /
af: Candelon, Bertrand
Udgivet: (2011)

Sovereign Risk, Fiscal Policy, and Macroeconomic Stability /
af: Kuester, Keith
Udgivet: (2012)

Measuring and Analyzing Sovereign Risk with Contingent Claims /
af: Gapen, Michael
Udgivet: (2005)

Sovereign Risk in Macroprudential Solvency Stress Testing /
af: Jobst, Andreas A.
Udgivet: (2019)

Credit Risk Management
af: Andrew Fight
Udgivet: (2004)

Credit risk management
af: Gestel, Tony van

Credit Risk Management
af: Andrew Fight
Udgivet: (2004)

Commodities and the Market Price of Risk /
af: Roache, Shaun
Udgivet: (2008)