Essays about: "sovereign debt crisis"
Showing result 31 - 35 of 51 essays containing the words sovereign debt crisis.
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31. Responding to the Eurozone Crisis - Applying the Shadow Rating Approach to Determine Economic Capital for Sovereign Exposures
University essay from Lunds universitet/Matematisk statistikAbstract : 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
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32. Long-term Government Bond Yields and Macroeconomic Variables
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This article investigates the relationship between the economic influences a country has and how the market has observed by 10-year government bond yields through a set of macroeconomic variables. It examines a set of OECD countries between 1980 and 2013 dividing them into two groups namely the G7 group and small countries, even though the specific effect of the USA is investigated as well. READ MORE
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33. Determinants of corporate CDS spreads in the Eurozone - Is there a spillover effect from sovereign to corporate credit risk?
University essay from Lunds universitet/Företagsekonomiska institutionenAbstract : We study the determinants of corporate CDS spreads for 125 companies headquartered in the Eurozone, with an emphasis on sovereign CDS spreads as a main determinant of corporate CDS spreads in levels and changes. This is done by analyzing financial companies, as well as non-financial companies. READ MORE
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34. PIGS or Lambs revisited: Reassessing the Role of Rating Agencies in the European Sovereign Debt Crisis
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : 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
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35. Sovereign risk premiums in the eurozone: A regime switching analysis
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper provides an empirical analysis of the relationship between economic variables and sovereign risk premiums in the eurozone between the years 1988 and 2013. By using a Markov regime switching model it is possible to prove a nonlinear relationship. READ MORE
