Ge, Shuyi A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model. (English) Zbl 1518.91304 J. Econ. Dyn. Control 146, Article ID 104565, 30 p. (2023). MSC: 91G45 × Cite Format Result Cite Review PDF Full Text: DOI Link
Irarrazabal, Alfonso A.; Ma, Lin; Parra-Alvarez, Juan Carlos Optimal asset allocation for commodity sovereign wealth funds. (English) Zbl 1518.91242 Quant. Finance 23, No. 3, 471-495 (2023). MSC: 91G10 × Cite Format Result Cite Review PDF Full Text: DOI Link
Hong, Zhiwu; Niu, Linlin; Zhang, Chen Affine arbitrage-free yield net models with application to the euro debt crisis. (English) Zbl 07557284 J. Econom. 230, No. 1, 201-220 (2022). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI Link
Morelli, Juan M.; Ottonello, Pablo; Perez, Diego J. Global banks and systemic debt crises. (English) Zbl 1489.91301 Econometrica 90, No. 2, 749-798 (2022). MSC: 91G45 91B69 × Cite Format Result Cite Review PDF Full Text: DOI
Dvorkin, Maximiliano; Sánchez, Juan M.; Sapriza, Horacio; Yurdagul, Emircan Improving sovereign debt restructurings. (English) Zbl 1492.91407 J. Econ. Dyn. Control 139, Article ID 104435, 24 p. (2022). MSC: 91G45 × Cite Format Result Cite Review PDF Full Text: DOI
Cevik, Serhan; Jalles, João Tovar An apocalypse foretold: climate shocks and sovereign defaults. (English) Zbl 1485.91240 Open Econ. Rev. 33, No. 1, 89-108 (2022). MSC: 91G45 91B76 × Cite Format Result Cite Review PDF Full Text: DOI Link
Li, Yuan; Yang, Jinqiang; Zhao, Siqi Present-biased government and sovereign debt dynamics. (English) Zbl 1483.91133 J. Math. Econ. 98, Article ID 102579, 18 p. (2022). MSC: 91B64 91G45 × Cite Format Result Cite Review PDF Full Text: DOI
Boudoukh, Jacob; Brooks, Jordan; Richardson, Matthew; Xu, Zhikai Sovereign credit quality and violations of the law of one price. (English) Zbl 1519.91278 Rev. Finance 25, No. 5, 1581-1607 (2021). MSC: 91G45 91G20 91G40 × Cite Format Result Cite Review PDF Full Text: DOI
Amador, Manuel; Phelan, Christopher Reputation and sovereign default. (English) Zbl 1480.91300 Econometrica 89, No. 4, 1979-2010 (2021). MSC: 91G45 × Cite Format Result Cite Review PDF Full Text: DOI
Cherubini, Umberto Estimating redenomination risk under Gumbel-Hougaard survival copulas. (English) Zbl 1478.91181 J. Econ. Dyn. Control 133, Article ID 104268, 20 p. (2021). MSC: 91G45 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Prein, Timm M.; Scholl, Almuth The impact of bailouts on political turnover and sovereign default risk. (English) Zbl 1475.91391 J. Econ. Dyn. Control 124, Article ID 104065, 30 p. (2021). MSC: 91G45 91F10 × Cite Format Result Cite Review PDF Full Text: DOI Link
Gutkowski, Violeta A. Sovereign illiquidity and recessions. (English) Zbl 1475.91387 J. Econ. Dyn. Control 122, Article ID 104029, 27 p. (2021). MSC: 91G45 91B64 × Cite Format Result Cite Review PDF Full Text: DOI
Dosi, Giovanni; Minenna, Marcello; Roventini, Andrea; Violi, Roberto Making the Eurozone work: a risk-sharing reform of the European stability mechanism. (English) Zbl 1476.91209 Ann. Oper. Res. 299, No. 1-2, 617-657 (2021). MSC: 91G45 91G05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Rudderham, Ryan Birds of a feather: separating spillovers from shocks in sovereign default. (English) Zbl 1476.91213 Ann. Finance 17, No. 3, 353-378 (2021). MSC: 91G45 × Cite Format Result Cite Review PDF Full Text: DOI
Bales, Stephan; Burghof, Hans-Peter Policy uncertainty, interest rate environment and the dynamic correlation between sovereign and bank default risk. (English) Zbl 1471.91604 Econ. Lett. 206, Article ID 109983, 7 p. (2021). MSC: 91G45 91G30 × Cite Format Result Cite Review PDF Full Text: DOI
Zenios, Stavros A.; Consiglio, Andrea; Athanasopoulou, Marialena; Moshammer, Edmund; Gavilan, Angel; Erce, Aitor Risk management for sustainable sovereign debt financing. (English) Zbl 1471.91520 Oper. Res. 69, No. 3, 755-773 (2021). MSC: 91G10 91G70 × Cite Format Result Cite Review PDF Full Text: DOI
Ben Cheikh, Nidhaleddine; Ben Hmiden, Oussama; Ben Zaied, Younes; Boubaker, Sabri Do sovereign credit ratings matter for corporate credit ratings? (English) Zbl 1461.91330 Ann. Oper. Res. 297, No. 1-2, 77-114 (2021). MSC: 91G40 × Cite Format Result Cite Review PDF Full Text: DOI
Coroneo, Laura; Pastorello, Sergio European spreads at the interest rate lower bound. (English) Zbl 1475.91372 J. Econ. Dyn. Control 119, Article ID 103979, 21 p. (2020). MSC: 91G30 91G45 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Chiesa, Gabriella Safe assets, credit provision and debt management. (English) Zbl 1460.91282 Open Econ. Rev. 31, No. 3, 637-667 (2020). MSC: 91G40 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Marchesi, Silvia; Masi, Tania Sovereign rating after private and official restructuring. (English) Zbl 1442.91110 Econ. Lett. 192, Article ID 109178, 6 p. (2020). MSC: 91G45 × Cite Format Result Cite Review PDF Full Text: DOI Link
Pancrazi, Roberto; Seoane, Hernán D.; Vukotić, Marija Welfare gains of bailouts in a sovereign default model. (English) Zbl 1517.91261 J. Econ. Dyn. Control 113, Article ID 103867, 22 p. (2020). MSC: 91G45 91B64 × Cite Format Result Cite Review PDF Full Text: DOI Link
Fong, Tom; Hui, Ceara; Wong, Alfred Y.-T. How might sovereign bond yields in Asia Pacific react to us monetary normalisation under turbulent market conditions? (English) Zbl 1516.62286 J. Appl. Stat. 46, No. 11, 2030-2055 (2019). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Sun, Z.; Hamill, P. A.; Li, Youwei; Yang, Y. C.; Vigne, S. A. Did long-memory of liquidity signal the European sovereign debt crisis? (English) Zbl 1430.91116 Ann. Oper. Res. 282, No. 1-2, 355-377 (2019). MSC: 91G20 91G45 62P05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Sensoy, Ahmet; Nguyen, Duc Khuong; Rostom, Ahmed; Hacihasanoglu, Erk Dynamic integration and network structure of the EMU sovereign bond markets. (English) Zbl 1430.91114 Ann. Oper. Res. 281, No. 1-2, 297-314 (2019). MSC: 91G20 91G45 91B64 × Cite Format Result Cite Review PDF Full Text: DOI Link
D’Amico, Guglielmo; Petroni, Filippo; Regnault, Philippe; Scocchera, Stefania; Storchi, Loriano A copula-based Markov reward approach to the credit spread in the European Union. (English) Zbl 1430.91123 Appl. Math. Finance 26, No. 4, 359-386 (2019). MSC: 91G40 91G45 62P05 62H05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Restrepo-Echavarria, Paulina Endogenous borrowing constraints and stagnation in Latin America. (English) Zbl 1425.91299 J. Econ. Dyn. Control 109, Article ID 103774, 14 p. (2019). MSC: 91B62 91B64 × Cite Format Result Cite Review PDF Full Text: DOI Link
Realdon, Marco Non-linear Gaussian sovereign CDS pricing models. (English) Zbl 1420.91476 Quant. Finance 19, No. 2, 191-210 (2019). MSC: 91G20 91G40 62P05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Seoane, Hernán D. Time-varying volatility, default, and the sovereign risk premium. (English) Zbl 1422.91541 Int. Econ. Rev. 60, No. 1, 283-301 (2019). MSC: 91B64 × Cite Format Result Cite Review PDF Full Text: DOI Link
Becker, Bo; Ivashina, Victoria Financial repression in the European sovereign debt crisis. (English) Zbl 1425.91309 Rev. Finance 22, No. 1, 83-115 (2018). MSC: 91B64 91G40 × Cite Format Result Cite Review PDF Full Text: DOI Link
Consiglio, Andrea; Tumminello, Michele; Zenios, Stavros A. Pricing sovereign contingent convertible debt. (English) Zbl 1419.91608 Int. J. Theor. Appl. Finance 21, No. 8, Article ID 1850049, 36 p. (2018). MSC: 91G20 91G40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Akyildirim, Erdinc; Nguyen, Duc Khuong; Sensoy, Ahmet A tale of two risks in the EMU sovereign debt markets. (English) Zbl 1406.91262 Econ. Lett. 172, 102-106 (2018). MSC: 91B64 62P20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Önal, Nisa Özge; Karacuha, Ertugrul Novel approaches on sovereign credit ratings. (English) Zbl 1413.91121 Eur. J. Pure Appl. Math. 11, No. 4, 1014-1026 (2018). MSC: 91G40 68T05 × Cite Format Result Cite Review PDF Full Text: Link
Debarsy, Nicolas; Dossougoin, Cyrille; Ertur, Cem; Gnabo, Jean-Yves Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach. (English) Zbl 1401.91489 J. Econ. Dyn. Control 87, 21-45 (2018). MSC: 91B82 91B30 91B72 × Cite Format Result Cite Review PDF Full Text: DOI HAL
Jiao, Ying; Li, Shanqiu Modeling sovereign risks: from a hybrid model to the generalized density approach. (English) Zbl 1403.91364 Math. Finance 28, No. 1, 240-267 (2018). MSC: 91G40 91G20 60G40 62P05 × Cite Format Result Cite Review PDF Full Text: DOI HAL
Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard Regime-dependent sovereign risk pricing during the Euro crisis. (English) Zbl 1402.91841 Rev. Finance 21, No. 1, 363-385 (2017). MSC: 91G40 91G20 62P05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Xu, Simon; In, Francis; Forbes, Catherine; Hwang, Inchang Systemic risk in the European sovereign and banking system. (English) Zbl 1402.91861 Quant. Finance 17, No. 4, 633-656 (2017). MSC: 91G40 × Cite Format Result Cite Review PDF Full Text: DOI Link
Garcia-de-Andoain, Carlos; Kremer, Manfred Beyond spreads: measuring sovereign market stress in the Euro area. (English) Zbl 1398.91590 Econ. Lett. 159, 153-156 (2017). MSC: 91G20 91G70 × Cite Format Result Cite Review PDF Full Text: DOI Link
Bloise, Gaetano; Polemarchakis, Herakles; Vailakis, Yiannis Sovereign debt and incentives to default with uninsurable risks. (English) Zbl 1396.91786 Theor. Econ. 12, No. 3, 1121-1154 (2017). MSC: 91G40 91A40 × Cite Format Result Cite Review PDF Full Text: DOI
Faia, Ester Sovereign risk, bank funding and investors’ pessimism. (English) Zbl 1401.91359 J. Econ. Dyn. Control 79, 79-96 (2017). MSC: 91B64 × Cite Format Result Cite Review PDF Full Text: DOI Link
Martins-da-Rocha, V. Filipe; Vailakis, Yiannis On the sovereign debt paradox. (English) Zbl 1398.91447 Econ. Theory 64, No. 4, 825-846 (2017). MSC: 91B64 91G40 × Cite Format Result Cite Review PDF Full Text: DOI Link
Consiglio, Andrea; Zenios, Stavros A. Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling. (English) Zbl 1371.91188 Optim. Eng. 18, No. 2, 537-558 (2017). MSC: 91G40 90C15 × Cite Format Result Cite Review PDF Full Text: DOI Link
Smirnov, Sergey N.; Lapshin, Victor A.; Kurbangaleev, Marat Z. Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach. (English) Zbl 1370.90309 Optim. Eng. 18, No. 2, 499-536 (2017). MSC: 90C90 91G30 91G40 91B25 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Wegener, Christoph; Basse, Tobias; Kunze, Frederik; von Mettenheim, Hans-Jörg Oil prices and sovereign credit risk of oil producing countries: an empirical investigation. (English) Zbl 1400.91641 Quant. Finance 16, No. 12, 1961-1968 (2016). MSC: 91G40 × Cite Format Result Cite Review PDF Full Text: DOI
Canofari, Paolo; Marini, Giancarlo; Piersanti, Giovanni Expectations and systemic risk in EMU government bond spreads. (English) Zbl 1398.91568 Quant. Finance 15, No. 4, 711-724 (2015). MSC: 91G20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Pianeti, R.; Giacometti, R. Estimating the probability of multiple EU sovereign defaults using CDS and bond data. (English) Zbl 1398.91646 Quant. Finance 15, No. 1, 61-78 (2015). MSC: 91G40 91G20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Jiao, Ying; Li, Shanqiu Generalized density approach in progressive enlargement of filtrations. (English) Zbl 1333.60073 Electron. J. Probab. 20, Paper No. 85, 21 p. (2015). MSC: 60G20 60G44 91G40 91G80 × Cite Format Result Cite Review PDF Full Text: DOI
Bernardi, Enrico; Falangi, Federico; Romagnoli, Silvia A hierarchical copula-based world-wide valuation of sovereign risk. (English) Zbl 1314.91135 Insur. Math. Econ. 61, 155-169 (2015). MSC: 91B30 62H05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Afonso, António; Gomes, Pedro; Taamouti, Abderrahim Sovereign credit ratings, market volatility, and financial gains. (English) Zbl 1506.62007 Comput. Stat. Data Anal. 76, 20-33 (2014). MSC: 62-08 62P05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Monfort, Alain; Renne, Jean-Paul Decomposing euro-area sovereign spreads: credit and liquidity risks. (English) Zbl 1417.91531 Rev. Finance 18, No. 6, 2103-2151 (2014). MSC: 91G40 62P05 × Cite Format Result Cite Review PDF Full Text: DOI Link
van der Kwaak, C. G. F.; van Wijnbergen, S. J. G. Financial fragility, sovereign default risk and the limits to commercial bank bail-outs. (English) Zbl 1402.91519 J. Econ. Dyn. Control 43, 218-240 (2014). MSC: 91B64 × Cite Format Result Cite Review PDF Full Text: DOI Link
León, Carlos; Leiton, Karen; Pérez, Jonathan Extracting the sovereigns’ CDS market hierarchy: a correlation-filtering approach. (English) Zbl 1402.91852 Physica A 415, 407-420 (2014). MSC: 91G40 × Cite Format Result Cite Review PDF Full Text: DOI DOI OA License
Castellacci, Giuseppe; Choi, Youngna Financial instability contagion: a dynamical systems approach. (English) Zbl 1402.91420 Quant. Finance 14, No. 7, 1243-1255 (2014). MSC: 91B64 91B82 × Cite Format Result Cite Review PDF Full Text: DOI
Capponi, Agostino; Larsson, Martin Will banning naked CDS impact bond prices? (English) Zbl 1318.91198 Ann. Finance 10, No. 3, 481-508 (2014). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G70 × Cite Format Result Cite Review PDF Full Text: DOI
Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana Mutual excitation in Eurozone sovereign CDS. (English) Zbl 1312.91089 J. Econom. 183, No. 2, 151-167 (2014). MSC: 91G40 91G20 62P05 60G55 60J28 × Cite Format Result Cite Review PDF Full Text: DOI Link
Baglioni, Angelo; Cherubini, Umberto Within and between systemic country risk. Theory and evidence from the sovereign crisis in Europe. (English) Zbl 1327.91066 J. Econ. Dyn. Control 37, No. 8, 1581-1597 (2013). MSC: 91G70 91G40 91G50 91B74 × Cite Format Result Cite Review PDF Full Text: DOI
Orth, Walter Default probability estimation in small samples – with an application to sovereign bonds. (English) Zbl 1282.91361 Quant. Finance 13, No. 12, 1891-1902 (2013). MSC: 91G40 62C12 62P05 91G70 × Cite Format Result Cite Review PDF Full Text: DOI
Metiu, Norbert Sovereign risk contagion in the Eurozone. (English) Zbl 1254.91606 Econ. Lett. 117, No. 1, 35-38 (2012). MSC: 91B82 62P20 91G40 × Cite Format Result Cite Review PDF Full Text: DOI
Alp, Özge Sezgin; Büyükbebeci, Erkan; Çekiç, Ayşegül İşcanoğlu; Özkurt, Fatma Yerlikaya; Taylan, Pakize; Weber, Gerhard-Wilhelm CMARS and GAM & CQP-modern optimization methods applied to international credit default prediction. (English) Zbl 1217.91203 J. Comput. Appl. Math. 235, No. 16, 4639-4651 (2011). MSC: 91G70 90C20 91G40 × Cite Format Result Cite Review PDF Full Text: DOI
Schabert, Andreas Monetary policy under a fiscal theory of sovereign default. (English) Zbl 1238.91104 J. Econ. Theory 145, No. 2, 860-868 (2010). MSC: 91B64 91G40 × Cite Format Result Cite Review PDF Full Text: DOI Link
Hellwig, Christian; Lorenzoni, Guido Bubbles and self-enforcing debt. (English) Zbl 1188.91072 Econometrica 77, No. 4, 1137-1164 (2009). Reviewer: Nikita E. Ratanov (Bogotá) MSC: 91B24 91B50 × Cite Format Result Cite Review PDF Full Text: DOI
Maltritz, Dominik Modelling the dependency between currency and debt crises: an option based approach. (English) Zbl 1255.91406 Econ. Lett. 100, No. 3, 344-347 (2008). MSC: 91G20 91B64 91G40 × Cite Format Result Cite Review PDF Full Text: DOI
Fuertes, Ana-Maria; Kalotychou, Elena On sovereign credit migration: a study of alternative estimators and rating dynamics. (English) Zbl 1161.62450 Comput. Stat. Data Anal. 51, No. 7, 3448-3469 (2007). MSC: 62P20 65C60 62P05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Kehoe, Patrick J.; Perri, Fabrizio Competitive equilibria with limited enforcement. (English) Zbl 1080.91024 J. Econ. Theory 119, No. 1, 184-206 (2004). MSC: 91B26 91B64 91A25 × Cite Format Result Cite Review PDF Full Text: DOI
Esteghamat, Kian A boundary crossing model of counterparty risk. (English) Zbl 1178.91064 J. Econ. Dyn. Control 27, No. 10, 1771-1799 (2003). MSC: 91B25 91G20 91G40 × Cite Format Result Cite Review PDF Full Text: DOI
Eaton, Jonathan; Gersovitz, Mark Some curious properties of a familiar model of debt and default. (English) Zbl 0900.90020 Econ. Lett. 48, No. 3-4, 367-371 (1995). MSC: 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Atkeson, Andrew International lending with moral hazard and risk of repudiation. (English) Zbl 0724.90017 Econometrica 59, No. 4, 1069-1089 (1991). MSC: 91B26 91B62 91A40 × Cite Format Result Cite Review PDF Full Text: DOI