Country Default Risk: An Empirical Assessment
نویسندگان
چکیده
منابع مشابه
Restructuring Risk in Credit Default Swaps: An Empirical Analysis
This paper estimates the price for restructuring risk in the U.S. corporate bond market during 1999-2005. Comparing quotes from default swap (CDS) contracts with a restructuring event and without, we find that the average premium for restructuring risk represents 6% to 8% of the swap rate without restructuring. We show that the restructuring premium depends on firmspecific balance-sheet and mac...
متن کاملDefault Risk and Derivatives: an Empirical Analysis of Bilateral Netting
Reserve Bank of Australia We are grateful to the banks that participated in this study, and to Palle Andersen for helpful comments. Any errors are ours alone. The views expressed in this paper are those of the authors and do not necessarily reflect the views of the Reserve Bank of Australia. i ABSTRACT This paper discusses the determination of a capital charge to cover default risk on a netted ...
متن کاملDependence of Default Probability and Recovery Rate in Structural Credit Risk Models: Empirical Evidence from Greece
The main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. We examine the dependence between PD and RR by theoretical approach. For the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. These methods allow to determinate...
متن کاملDefault Risk and Diversification: Theory and Empirical Implications*
Recent advances in the theory of credit risk allow the use of standard term structure machinery for default risk modeling and estimation. The empirical literature in this area often interprets the drift adjustments of the default intensity’s diffusion state variables as the only default risk premium. We show that this interpretation implies a restriction on the form of possible default risk pre...
متن کاملIntelligence and Slave Export Intensity: A Cross-Country Empirical Assessment
The literature has not sufficiently engaged the emergence and expansion of the phenomenon of Slave export. This article contributes to the existing stream by examining the role of human capital or intelligence on slave exports. We postulate and justify a reasonable hypothesis that countries which were endowed with higher human capital levels were more likely to experience lower levels of slave ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Australian Economic Papers
سال: 2001
ISSN: 0004-900X,1467-8454
DOI: 10.1111/1467-8454.00135