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Interpreting sovereign spreads
12 references·4 citing·50 second hop
Interpreting sovereign spreads (2007)Interpreting sovereign spreadsThe Credit Spread Puzzle (2012)The Credit Spread PuzzleDeterminants and Impact of Sovereign Credit Ratings (2007)Determinants and Impact of So…Is Default Event Risk Priced in Corporate Bonds? (2004)Is Default Event Risk Priced …How rating Agenices achieve rating stability (2004)How rating Agenices achieve r…Assessing New Perspectives on Country Risk (2004)Assessing New Perspectives on…Are credit ratings procyclical? (2004)Are credit ratings procyclica…Credit Risk : Pricing, Measurement, and Management (2003)Credit Risk : Pricing, Measur…Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2001)Modeling Sovereign Yield Spre…Emerging Market Bond Spreads and Sovereign Credit Ratings: Reconciling Market Views with Economic Fundamentals (2001)Emerging Market Bond Spreads …Default Risk and Diversification: Theory and Empirical Implications (2001)Default Risk and Diversificat…The Economic Content of Indicators of Developing Country Creditworthiness (1996)The Economic Content of Indic…The Pure Theory of Country Risk (1986)The Pure Theory of Country Ri…News sentiment and sovereign credit risk (2019)News sentiment and sovereign …How do global investors differentiate between sovereign risks? The new normal versus the old (2016)How do global investors diffe…Sovereign defaults by currency denomination (2015)Sovereign defaults by currenc…Credit default swaps and sovereign debt markets (2015)Credit default swaps and sove…Common risk factors in the returns on stocks and bonds (1993)Explaining the Rate Spread on Corporate Bonds (2001)The Determinants of Credit Spread Changes (2001)The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion (2011)Bond Prices, Default Probabilities and Risk Premiums (2012)Is the Credit Spread Puzzle a Myth? (2018)Debt with Potential Repudiation: Theoretical and Empirical Analysis (1981)Reputation and imperfect information (1982)Bank Runs, Deposit Insurance, and Liquidity (1983)Sovereign risk assessment and agency credit ratings (1996)One Reason Countries Pay their Debts: Renegotiation and International Trade (2002)Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets (2008)Valuation effects of security offerings and the issuance process (1986)Sovereign Debt: Is To Forgive To Forget? (1988)The Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)Understanding the determinants of sovereign debt ratings: Evidence for the two leading agencies (2003)The Empire Effect: The Determinants of Country Risk in the First Age of Globalization, 1880–1913 (2006)Short- and long-run determinants of sovereign debt credit ratings (2010)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Stochastic Integration and Differential Equations (2005)The Impact of Collateralization on Swap Rates (2007)Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe (2011)Exchange Rates and Sovereign Risk (2021)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality? (1998)The Credit Rating Industry: Competition and Regulation (2007)Credit Rating Targets (2008)EU Banks Rating Assignments: Is There Heterogeneity between New and Old Member Countries? (2010)The arbitrage theory of capital asset pricing (1976)Modeling Expected Return on Defaultable Bonds (2002)Default Correlation in Reduced-Form Models (2005)Correlation in Corporate Defaults: Contagion or Conditional Independence? (2009)Exchange Rates and the Current Account. (1980)Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors (1993)The estimation of transition matrices for sovereign credit ratings (2002)Determinants of market-assessed sovereign risk: Economic fundamentals or market risk appetite? (2005)The Dynamic Pricing of Sovereign Risk in Emerging Markets (2008)Risk measurement when shares are subject to infrequent trading (1979)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Towards a Macroprudential Framework for Financial Supervision and Regulation? (2003)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)An Overview of Macroprudential Policy Tools (2015)Modeling Term Structures of Defaultable Bonds (1999)Credit Risk Modeling (2004)Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010)Regulatory pressure and fire sales in the corporate bond market (2011)How Profitable Is Capital Structure Arbitrage? (2006)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Safer ratios, riskier portfolios: Banks׳ response to government aid (2014)
this work references cited by second hop

References

  • 2003Credit Risk : Pricing, Measurement, and Management587 cited
  • 2004Is Default Event Risk Priced in Corporate Bonds?566 cited
  • 2007Determinants and Impact of Sovereign Credit Ratings509 cited
  • 2004Are credit ratings procyclical?402 cited
  • 1996The Economic Content of Indicators of Developing Country Creditworthiness193 cited
  • 2001Modeling Sovereign Yield Spreads: A Case Study of Russian Debt146 cited
  • 1986The Pure Theory of Country Risk105 cited
  • 2012The Credit Spread Puzzle98 cited
  • 2004How rating Agenices achieve rating stability66 cited
  • 2001Default Risk and Diversification: Theory and Empirical Implications64 cited
  • 2001Emerging Market Bond Spreads and Sovereign Credit Ratings: Reconciling Market Views with Economic Fundamentals56 cited
  • 2004Assessing New Perspectives on Country Risk50 cited

Cited by

  • 2016How do global investors differentiate between sovereign risks? The new normal versus the old38 cited
  • 2015Sovereign defaults by currency denomination35 cited
  • 2015Credit default swaps and sovereign debt markets31 cited

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2019
News sentiment and sovereign credit risk
29 cited