Default, Currency Crises, and Sovereign Credit Ratings
نویسندگان
چکیده
منابع مشابه
Credit Derivatives and Sovereign Debt Crises
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n recent years, the demand for sovereign credit rat-ings—the risk assessments assigned by the credit rating agencies to the obligations of central govern-ments—has increased dramatically. More governments with greater default risk and more companies domiciled in riskier host countries are borrowing in international bond markets. Although foreign government officials generally cooperate with the...
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A credit default swap (CDS) contract provides insurance against default. After a country defaults, the country and its lenders usually negotiate over the share of the defaulted debt to be repaid. This paper incorporates CDS contracts into a sovereign default model and demonstrates that the existence of a CDS market results in lower default probability, higher debt levels, and lower nancing cost...
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This paper provides a model of sovereign default risk pricing, in which a sovereign country endogenously determines the timing of default on its external debt. The theoretical relationships between credit risk and the macro-variables considered in the model are consistent with the empirical literature. The model also helps to explain the variation across time in Emerging Market Bond Index (EMBI...
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ژورنال
عنوان ژورنال: The World Bank Economic Review
سال: 2002
ISSN: 1564-698X
DOI: 10.1093/wber/16.2.151