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Sovereign default forecasting in the era of the COVID-19 crisis

Kristóf, Tamás - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-24

The COVID-19 crisis has revealed the economic vulnerability of various countries and, thus, has instigated the systematic exploration and forecasting of sovereign default risks. Multivariate statistical and stochastic process-based sovereign default risk forecasting has a 50-year developmental...

Persistent link: https://www.econbiz.de/10012792441

A quantitative analysis of risk premia in the corporate bond market

Cecchetti, Sara - In: Journal of risk and financial management : JRFM 13 (2020) 1/3, pp. 1-33

Measures of corporate credit risk incorporate compensation for unpredictable future changes in the credit environment and compensation for expected default losses. Since the launch of purchases of government securities and corporate securities by the European Central Bank, it has been discussed...

Persistent link: https://www.econbiz.de/10012173339

Current and prospective estimate of counterparty risk through dynamic neural networks

Agnese, Alessio; Giribone, Pier Giuseppe; Querci, Francesca - In: Risk management magazine 17 (2022) 2, pp. 42-61

of the risks of insolvency it may incur by having economic relations with counterparties. This study aims to analyze the …

Persistent link: https://www.econbiz.de/10013501084

Exchange rates, credit default swaps and market volatility of emerging markets : panel CS-ARDL approach

Wang, Alan T.; Liang, Chin Chia - In: Borsa Istanbul Review 24 (2024) 1, pp. 176-186

exchange-rate movements from 2011 to 2022, on the one hand, and sovereign debt credit default swap (CDS) premiums and market …

Persistent link: https://www.econbiz.de/10014494773

Volatility spillovers among sovereign credit default swaps of emerging economies and their determinants

Aljarba, Shumok; Naifar, Nader; Almeshal, Khalid - In: Risks : open access journal 12 (2024) 4, pp. 1-17

swaps (SCDSs), including those of Saudi Arabia, Russia, China, Indonesia, South Africa, Brazil, Mexico, and Turkey. Using …

Persistent link: https://www.econbiz.de/10014636376

The determinants of financial distress cost : a case of emerging market

Farooq, Muhammad; Hunjra, Ahmed Imran; Ullah, Saif; … - In: Cogent economics & finance 11 (2023) 1, pp. 1-22

This study analyses the cost of financial distress of non-financial firms listed on the Pakistan stock exchange. Furthermore, it considers the moderating role of concentrated ownership in the relationship between debt and expected financial distress costs. We used the panel data of 214 firms...

Persistent link: https://www.econbiz.de/10014500702

A measure of Turkey's sovereign and banking sector credit risk : asset swap spreads

Küçüksaraç, Doruk; Kazdal, Abdullah; İbrahim … - In: Central Bank review / Central Bank of the Republic of Turkey 21 (2021) 2, pp. 49-57

banking sector in international markets by calculating asset swap spread for US dollar-denominated fixed coupon eurobonds … and banking sector yield curves and then constructs a synthetic asset swap structure to obtain embedded credit risk premia … default swap premium. In addition to this, estimated eurobond curves are also useful for monitoring borrowing cost dynamics of …

Persistent link: https://www.econbiz.de/10012592021

Are CDS spreads sensitive to the term structure of the yield curve? : a sector-wise analysis under various market conditions

Aman, Asia - In: Journal of risk and financial management : JRFM 12 (2019) 4/158, pp. 1-13

This study examines the impact of changes in the yield curve factors on the Credit Default Swap (CDS) spreads of the U …

Persistent link: https://www.econbiz.de/10012172992

Sovereign bond spreads and CDS premia in the Eurozone : a causality analysis

Téllez, Cecilia; Martín García, Margarita; Ramón … - In: Revista de métodos cuantitativos para la economía y … 30 (2020), pp. 58-78

This article presents an analysis of the possible relationship between the spreads of sovereign bonds and the premia of credit default swaps (CDS) to determine whether they are useful tools for the measurement of the sovereign risk either separately or by taking into account the joint evolution...

Persistent link: https://www.econbiz.de/10012436652

The impact of financial drivers on credit default swap (CDS) in Turkey : the cointegration with structural breaks and FMOLS approach

Erdas, Mehmet Levent - In: Istanbul business research 51 (2022) 1, pp. 25-46

The CDS premium is considered to be an important criterion in the risk premiums of countries with emerging markets and it also provides important information about the credibility of these countries for investors. Decreasing the level of CDS for developing countries helps investors to work with...

Persistent link: https://www.econbiz.de/10013207504