Essays about: "Sovereign ratings"

Showing result 1 - 5 of 11 essays containing the words Sovereign ratings.

  1. 1. Environmental performance and sovereign bond yields: Evidence from emerging markets

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Kristin Unga; [2023]
    Keywords : sovereign yields; environmental performance; principal component analysis; Business and Economics;

    Abstract : This thesis analyses if investors price a country’s environmental (E) performance into sovereign bond yields. The sample consists of 17 emerging countries from 2011 to 2020. READ MORE

  3. 2. 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

  4. 3. Analysing Credit Default Swap Spreads of European Banks

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Jovita Latakaite; Mihaela Dor Neagu; [2014]
    Keywords : Credit Default Swaps; Credit Risk; European Banks; Structural Models of Credit Risk; Credit Ratings; Liquidity; Market Factors; Business and Economics;

    Abstract : This paper investigates the determinants of the credit default swaps changes of 34 European banks between January 2004 and December 2013. The sample period is further divided into four sub-periods covering both calm and turbulent times (pre-crisis, acute phase and less acute phase of the financial crisis, and the most recent European sovereign debt crisis). READ MORE

  5. 4. 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

  6. 5. 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