Default on sovereign debt is a form of political risk. Issuers and creditors have responded to this risk both by …

to the risk of default, which is a collective risk. The possibility of default represents endogenous uncertainty, since … existence of a general equilibrium with default, in which the agents recontract trading positions and prices in the states of … default (Theorem 1). We establish the existence of an open set of general equilibrium economies, called complex economies, in …

conventional conforming mortgages. We test the extent to which exercise of prepayment and default options differ across groups. In … history and some other variables, LIMMs default slightly more frequently and have about the same loss severity as other loans … differences in prepayment speed on price approximately cancels out the effect of the higher incidence of default. …

students.In the second chapter, I study the sovereign borrowing market. Sovereign default often affects country’s trade … imports, which stimulates an adjustment to the equilibrium exchange rate. I demonstrate that a default episode can imply up to …

default of Spanish non-financial corporations using data for the period 1996-2019. While most previous literature considers … that a firm is in default if it files for bankruptcy, we define default as having non-performing loans during at least …

of sovereign default risk. International borrowing and lending arise from the interaction between a risk averse sovereign … lenders. The credit market is imperfect because the country cannot commit to repay its outstanding debt and chooses to default … when it is optimal to do so. The possibility of default induces an endogenous sovereign risk premium on foreign debt and …

volatility on sovereign default risk. Empirically, the paper establishes a concave relationship between spreads and volatility … volatility this relationship turns negative. The chapter also presents a quantitative model of sovereign debt with default risk … default, given default provides some short-run relief undera very bad realization of shocks.Chapter 2 addresses the …