Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 13 of 13 for “"sovereign risk"”.
-
Essays on Sovereign Risk and Banking
This thesis consists of three essays on sovereign risk and banking. In the first essay, we examine the determinants of sovereign risk in the Eurozone focusing on the recent crisis episode and search for a self-fulfilling contagion link by using an exogenous ECB policy announcement for …
-
Comparison of sovereign risk and its determinants
This paper aims to measure, compare and model Sovereign Risk. The risk position of South Africa compared to Emerging Markets as well as in comparison to Developed Markets is considered. Particular interest is taken in how the South African Sovereign Risk environment, and its associated …
-
Global factors and the pricing of sovereign risk
… of US Macroeconomic surprises on the pricing of sovereign risk of sixty-six countries in the period 2002-2017 using daily CDS data. I also explore how a country spread's sensitivity to these shocks depends on a wide range of country characteristics. I discuss potential transmission mechanisms of …
-
The effects of crisis on the interbank markets and sovereign risk: empirical investigations
… bailouts, downturns in asset prices and also to sovereign debt crises. The aim of this thesis is to empirically investigate the repercussions of this financial crisis on interbank market and sovereign risk. In Chapter one, we empirically explore the effect of bank lending relationships in the …
-
South African house-price dynamics
… in economic growth, real mortgage rates and sovereign risk. Empirical analysis suggests that the real prices of small-sized homes are not associated with real mortgage rates in the short run. Estimation of the house-price models also revealed that property prices exhibit mean reversion in the …
-
Essays in Financial Economics
… variation in firms' exposure to rollover risk to identify a causal liquidity channel at play during sudden stop episodes. Using a panel of firms across 39 countries, I show that firms with higher exposure (as measured by the share of long-term debt maturing over the next year) reduce …
-
Essays in Banking and Systemic Risk
… of three papers on banking and systemic risk. The first chapter develops a multi-objective optimization framework for banks’ securities portfolios, considering both individual and systemic risk. The findings show that while diversification can reduce individual risk, including systemic …
-
Three Essays in Financial Econometrics
… of the three chapters are summarized below: Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model This paper proposes a new mutual exciting regime-switching model where crises can spread contagiously across countries. Each country has its own hidden stochastic …
-
Analyzing Country Risk: Estimating the Probability of External Debt Repudiation in the Post-Oil-Embargo Decade
… as a tool for assessing the likelihood that a sovereign risk cannot, or will not, adhere to the terms of its foreign debt obligations as a result of adverse political, social, economic, or financial disruptions. The discussion is divided into two parts. Part one is devoted to a review of the …
-
Essays on Sovereign Default
This dissertation consists of three chapters on sovereign default. Thematically, they are linked by their examination of how sovereign risk influences government policy, equilibrium allocations, and welfare. Chapter 1 investigates the optimal currency denomination in sovereign bonds. Chapter 2 and …
-
Modeling and forecasting international credit risk : the case of sovereign loans
… for predicting debt crises and assessing the risk of credit migration. The increased reliance on econometric or statistical approaches and credit rating systems in risk management has intensified the need for more rigorous analysis of their finite sample properties. A better understanding of …
-
Is free riding affecting market discipline in the Euro sovereign bond market?
… and Growth Pact (SGP) has affected the Euro sovereign bond markets and its ability to enforce market discipline. To date 7 of the 11 member states of the Euro zone have violated the principles of this pact, and yet the bond market has shown little appetite to punish those with high deficits …
-
Financial Stability Models of the Irish Banking Sector: Deposit Flows and Property Price Dynamics
… been renewed focus on the analysis of sys- temic risk. Systemic risk refers to possibility that vulnerabilities across the financial system and between the financial system and the real economy will be triggered. As a result, intermediation activities may be curtailed and a financial crisis may …