Pricing of Sovereign Credit Risk : : Evidence From Advanced Economies During the Financial Crisis / / Emre Alper, Lorenzo Forni, Marc Gerard

• Autore: Alper Emre
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2012
• Descrizione fisica: 1 online resource (29 p.)
• Soggetto topico: Debts, External - Developed countries; Country risk - Developed countries; Global Financial Crisis, 2008-2009; Banks and Banking; Finance: General; Financial Risk Management; Investments: Bonds; Money and Monetary Policy; Fiscal Policy; Interest Rates: Determination, Term Structure, and Effects; Monetary Policy, Central Banking, and the Supply of Money and Credit: General; General Financial Markets: General (includes Measurement and Data); Financial Crises; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill; Monetary economics; Economic & financial crises & disasters; Investment & securities; Finance; Financial services law & regulation; Credit default swap; Financial crises; Sovereign bonds; Derivative markets; Credit risk; Money; Financial markets; Financial institutions; Financial regulation and supervision; Credit; Bonds; Derivative securities; Financial risk management
• Soggetto geografico: United States
• Altri autori: ForniLorenzo GerardMarc
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: 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; References
• Sommario/riassunto: We 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.
• Titolo autorizzato: Pricing of Sovereign Credit Risk
• ISBN: 1-4639-6592-3; 1-4639-3377-0; 1-4639-3836-5
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910789904603321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2012/024