06384oam 22014534 450 991081162190332120240402045038.01-4639-6592-31-4639-3377-01-4639-3836-5(CKB)2670000000184991(EBL)1606531(SSID)ssj0000938803(PQKBManifestationID)11485602(PQKBTitleCode)TC0000938803(PQKBWorkID)10922408(PQKB)11170138(Au-PeEL)EBL1606531(CaPaEBR)ebr10553702(OCoLC)870244871(IMF)WPIEE2012024(IMF)WPIEA2012024(MiAaPQ)EBC1606531(EXLCZ)99267000000018499120020129d2012 uf 0engurcn|||||||||txtccrPricing of Sovereign Credit Risk : Evidence From Advanced Economies During the Financial Crisis /Emre Alper, Lorenzo Forni, Marc Gerard1st ed.Washington, D.C. :International Monetary Fund,2012.1 online resource (29 p.)IMF Working PapersDescription based upon print version of record.1-4639-3186-7 Includes bibliographical references.Cover; Contents; I. Introduction; II. Dynamic Relationships between CDS and RAS Spreads; III. Determinants of CDS and RAS Spreads; IV. Concluding Remarks; Data Appendix; Figures; 1. CDS Gross Notional Outstanding Amounts as a Share of Total Public Debt: Selected Countries over the Period 2008-11; 2. CDS and RAS Spread Developments; 3. Expected one year ahead Primary Deficit and CDS/RAS Spreads - Large Advanced Economies; 4. Expected one year ahead Primary Deficit and CDS/RAS Spreads - Selected; Tables; 1. Panel and Individual Unit Root Test Results on the Basis (CDS-RAS)2. Individual Cointegration Test and Error-correction Model Estimation Results for CDS and RAS Spreads3. CDS Spreads Regressions; 4. RAS Spreads Regressions; 5. CDS Spreads Regressions - Country Breakdown; 6. RAS Spreads Regressions--Country Breakdown; ReferencesWe investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market arbitrage relationship between the cash (RAS) and the derivatives (CDS) markets, with price discovery taking place in the latter. Likewise, panel regressions aimed at uncovering the fundamental drivers of the two indicators show that the CDS market, although less liquid, has provided a better signal for sovereign credit risk during the period of the recent financial crisis.IMF Working Papers; Working Paper ;No. 2012/024Debts, ExternalDeveloped countriesCountry riskDeveloped countriesGlobal Financial Crisis, 2008-2009Banks and BankingimfFinance: GeneralimfFinancial Risk ManagementimfInvestments: BondsimfMoney and Monetary PolicyimfFiscal PolicyimfInterest Rates: Determination, Term Structure, and EffectsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfGeneral Financial Markets: General (includes Measurement and Data)imfFinancial CrisesimfFinancing PolicyimfFinancial Risk and Risk ManagementimfCapital and Ownership StructureimfValue of FirmsimfGoodwillimfMonetary economicsimfEconomic & financial crises & disastersimfInvestment & securitiesimfFinanceimfFinancial services law & regulationimfCredit default swapimfFinancial crisesimfSovereign bondsimfDerivative marketsimfCredit riskimfMoneyimfFinancial marketsimfFinancial institutionsimfFinancial regulation and supervisionimfCreditimfBondsimfDerivative securitiesimfFinancial risk managementimfUnited StatesimfDebts, ExternalCountry riskGlobal Financial Crisis, 2008-2009.Banks and BankingFinance: GeneralFinancial Risk ManagementInvestments: BondsMoney and Monetary PolicyFiscal PolicyInterest Rates: Determination, Term Structure, and EffectsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralGeneral Financial Markets: General (includes Measurement and Data)Financial CrisesFinancing PolicyFinancial Risk and Risk ManagementCapital and Ownership StructureValue of FirmsGoodwillMonetary economicsEconomic & financial crises & disastersInvestment & securitiesFinanceFinancial services law & regulationCredit default swapFinancial crisesSovereign bondsDerivative marketsCredit riskMoneyFinancial marketsFinancial institutionsFinancial regulation and supervisionCreditBondsDerivative securitiesFinancial risk management332.1;332.152Alper Emre1435289Forni Lorenzo767791Gerard Marc1606213DcWaIMFBOOK9910811621903321Pricing of Sovereign Credit Risk3931887UNINA