Essays about: "Sovereign credit rating"

Showing result 1 - 5 of 16 essays containing the words Sovereign credit rating.

  1. 1. Beyond Credit Ratings: The Role of (E)SG in Sovereign Debt Investments

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Oscar Wollmann; Filip Frisk; [2023]
    Keywords : ESG rating; Sovereign debt investments; Sovereign bond yields; Sustainability;

    Abstract : The study investigates the correlation between ESG performance and sovereign bond yield spreads using regression analysis. The results reveal a significant negative correlation between the Governance and Social indices and bond spreads, emphasising the importance of good governance practices and social stability in reducing the risk of sovereign debt default. READ MORE

  3. 2. Credit rating impact on the CDS market: the case of PIIGS countries coving European debt crisis period

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Xiaoan Zhou; [2018]
    Keywords : Sovereign Credit Rating; Credit Rating Agencies; CDS market; Sovereign CDS spread; European debt crisis;

    Abstract : In this paper, I analyze the impact of sovereign debt rating to CDS market under PIIGS (Portugal, Italy, Ireland, Greece and Spain) context during the European Debt Crisis. Via panel regression, I find country's sovereign rating and outlook have significant impact on the CDS market during the pre-crisis period. READ MORE

  4. 3. Responding to the Eurozone Crisis - Applying the Shadow Rating Approach to Determine Economic Capital for Sovereign Exposures

    University essay from Lunds universitet/Matematisk statistik

    Author : Simon Koskinen Rosemarin; [2014]
    Keywords : Mathematics and Statistics;

    Abstract : The recent European sovereign-debt crisis has made it clear that exposures towards sovereigns contain credit risk. However, according to the Basel framework's standardized approach banks are not required to hold any regulatory capital for highly rated sovereigns. READ MORE

  5. 4. PIGS or Lambs revisited: Reassessing the Role of Rating Agencies in the European Sovereign Debt Crisis

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Steffen Nauhaus; [2014]
    Keywords : Rating agencies; Sovereign ratings; Eurozone; Euro Crisis;

    Abstract : This paper examines whether credit rating agencies have indeed played as active a role in the Euro crisis as previously asserted. Using panel data methods for a set of 11 EMU countries, it assesses the robustness of an earlier analysis to the inclusion of additional explanatory variables. READ MORE

  6. 5. Determinants of the Sovereign Credit Default Swap Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Felix Roelkens; [2013]
    Keywords : Sovereign Credit Default Swap; Trading Volume Determinants; Credit Ratings; Empirical Analysis; DTCC Trading Data;

    Abstract : This thesis investigates the determinants of sovereign CDS market activity for a sample of 59 sovereigns during the period of 2008 to 2012. The results indicate that CDS market activity is linked to global and country-specific factors, namely investors' global risk perceptions,the global business climate, the global financial sector health, the volatility of the local business climate and the ability to pay back USD denominated debt. READ MORE