The sovereign credit default swap (CDS) spreads and exchange rates of the developed economies including the US, Japan, Switzerland and the eurozone with the first three countries' currencies conventionally considered as safe-haven varied in a wide range during the financial crises since late...

The study examines the predictability of 48 sovereign bond markets based on a strategy of 27,000 technical trading rules. These rules represent four popular trading rule classes, they are: moving average, filtering, support and resistance, and channel breakout rules, with numerous variants in...

This paper employs a panel logistic regression to evaluate the role of global and domestic risk factors in explaining sovereign tail risk for 18 emerging economies (EMEs). Sovereign tail risk is defined as the likelihood of a sharp rise in sovereign credit risk. We find that both global and...

This paper studies the discriminatory power and calibration quality of the structural credit risk models under the 'exogenous default boundary' approach including those proposed by Longstaff and Schwartz (1995) and Collin-Dufresne and Goldstein (2001), and 'endogenous default boundary' approach...