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Pricing of sovereign credit risk [[electronic resource] ] : evidence from advanced economies during the financial crisis / / C. Emre Alper, Lorenzo Forni and Marc Gerard
| Pricing of sovereign credit risk [[electronic resource] ] : evidence from advanced economies during the financial crisis / / C. Emre Alper, Lorenzo Forni and Marc Gerard |
| Autore | Alper C. Emre |
| Pubbl/distr/stampa | Washington, D.C., : International Monetary Fund, 2012 |
| Descrizione fisica | 1 online resource (29 p.) |
| Altri autori (Persone) |
ForniLorenzo
GerardMarc |
| Collana | IMF working paper |
| Soggetto topico |
Debts, External - Developed countries
Country risk - Developed countries Global Financial Crisis, 2008-2009 |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4639-6592-3
1-4639-3377-0 1-4639-3836-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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 |
| Record Nr. | UNINA-9910462056003321 |
Alper C. Emre
|
||
| Washington, D.C., : International Monetary Fund, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Pricing of Sovereign Credit Risk : : Evidence From Advanced Economies During the Financial Crisis / / Emre Alper, Lorenzo Forni, Marc Gerard
| Pricing of Sovereign Credit Risk : : Evidence From Advanced Economies During the Financial Crisis / / Emre Alper, Lorenzo Forni, Marc Gerard |
| Autore | Alper Emre |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (29 p.) |
| Altri autori (Persone) |
ForniLorenzo
GerardMarc |
| Collana | IMF Working Papers |
| 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 |
| ISBN |
1-4639-6592-3
1-4639-3377-0 1-4639-3836-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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 |
| Record Nr. | UNINA-9910789904603321 |
|
Alper Emre
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Pricing of Sovereign Credit Risk : : Evidence From Advanced Economies During the Financial Crisis / / Emre Alper, Lorenzo Forni, Marc Gerard
| Pricing of Sovereign Credit Risk : : Evidence From Advanced Economies During the Financial Crisis / / Emre Alper, Lorenzo Forni, Marc Gerard |
| Autore | Alper Emre |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (29 p.) |
| Disciplina | 332.1;332.152 |
| Altri autori (Persone) |
ForniLorenzo
GerardMarc |
| Collana | IMF Working Papers |
| 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 |
| ISBN |
9781463965921
1463965923 9781463933777 1463933770 9781463938369 1463938365 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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 |
| Record Nr. | UNINA-9910955912803321 |
|
Alper Emre
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
