Search results for "Sovereign debt"

showing 7 items of 27 documents

Disentangling the sources of sovereign rating adjustments: An examination of changes in rating policies following the GFC

2022

Abstract This paper disentangles and quantifies the sources of sovereign rating adjustments issued by the main rating agencies (Fitch, Standard and Poor's and Moody's) because of the global financial and European sovereign debt crises. We use a methodology (Rating Adjustment Decomposition) that allows us to decompose and quantify the portion of the rating adjustments motivated by changes in economic, financial and institutional quality factors (Δeconomic situation) and by changes in CRAs’ rating policies (Δrating policy). A third component (misprediction) is considered as the measure relies on a set of prediction exercises. Using 3,581 sovereign ratings from 104 (developed and developing) c…

SovereigntyEconomicsBusiness Management and Accounting (miscellaneous)Financial systemSovereign debtFinanceInstitutional qualityResearch in International Business and Finance
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The African Legal Support Facility as a Tool against Vulture Funds

2012

The article describes the action of vulture funds in enforcing sovereign debts against countries and the tools adopted to address the issue.

Vulture finds sovereign debts African Legal Support Facility
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Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling

2017

We argue that sovereign debt sustainability analysis must be augmented by stochastic correlated risk factors and a risk measure to capture tail effects. Crisis situations can thus be adequately specified and analyzed with sufficient accuracy to warrant the relevance of policy decisions. In this context there is significant scope for optimization modeling for both strategic planning and operational management. We discuss diverse aspects of the problem of debt sustainability and highlight modeling approaches that can be brought to bear on the problem. Results with the fictitious, but nor unrealistic, Kingdom of Atlantis, which is sinking under excessive debt, illustrate the proposed models.

WarrantStrategic planningControl and OptimizationActuarial scienceScope (project management)050204 development studiesMechanical Engineeringmedia_common.quotation_subjectRisk measure05 social sciencesAerospace EngineeringContext (language use)Financial engineeringRisk analysis (engineering)Settore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Sovereign debtDebt restructuringRestructuringSustainabilityScenariosPortfolio optimizationCVaRDebt0502 economics and businessSustainabilityEconomics050207 economicsElectrical and Electronic EngineeringSoftwareCivil and Structural Engineeringmedia_commonOptimization and Engineering
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How costly are debt crises?

2011

The aim of this paper is to assess the short- and medium-term impact of debt crises on GDP. Using an unbalanced panel of 154 countries from 1970 to 2008, the paper shows that debt crises produce significant and long-lasting output losses, reducing output by about 10 percent after eight years. The results also suggest that debt crises tend to be more detrimental than banking and currency crises. The significance of the results is robust to different specifications, identification and endogeneity checks, and datasets.

Western hemisphereEconomics and Econometricsmedia_common.quotation_subjectjel:E60Settore SECS-P/02 Politica EconomicaMonetary economicsEconomic models;Sovereign debt;Gross domestic product;output losses debt crises sovereign defaults debt crisis currency crises crisis episodes currency crisisCurrency crisisGross domestic productjel:G10Identification (information)Output Losses; Debt Crises; Sovereign Defaults.CrisesCurrencyDebtEconomicsGeneral Earth and Planetary SciencesDefaultEconomic modelEndogeneityFinanceGeneral Environmental ScienceDebt crisismedia_common
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Contingent Convertible Bonds for Sovereign Debt Risk Management

2018

Abstract We consider convertible bonds that contractually stipulate payment standstill, contingent on a market indicator of a sovereign’s credit worthiness breaching a distress threshold. This financial innovation limits ex ante the likelihood of debt crises and imposes ex post risk sharing between creditors and the debtor. Drawing from literature on contingent contracts, neglected risks, and bank CoCo, we extend prevailing arguments in favor of sovereign CoCo (S-CoCo). We discuss issues relating to their design: which market trigger, market discipline and sovereign incentives, and errors of false alarms or missed crises, and provide supporting evidence with eurozone data and a simple simul…

media_common.quotation_subjectGeography Planning and DevelopmentMonetary economicsDebt crisiDebt restructuringDevelopmentScenario analysiPuttable bondConditional Value-at-RiskSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Debt0502 economics and businessEconomics050207 economicsConvertible bondRisk managementmedia_commonDebt crisis050208 financebusiness.industryPortfolio optimizationBondGDP-indexed bond05 social sciencesDebtorExpected shortfallDebt restructuringSovereign debtContingent contractbusinessGeneral Economics Econometrics and FinanceJournal of Globalization and Development
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EUROPEAN UNION’S COMPETITIVENESS IN TERMS OF COUNTRY RISK AND FISCAL DISCIPLINE

2012

Underneath the umbrella of national competitiveness there are microeconomic and macroeconomic factors, but the recovery and the revival of a state competitiveness must be based on a strategy developed and coordinated centrally and implemented in strategic areas of the economy. In this respect, this paper aims to analyze the situation of European Union’s competitiveness in terms of country risk and fiscal and budgetary discipline of the Member States, based on empirical data. Therefore, this study’s analysis includes the following two steps: first, a segmentation of the European Union by determining distinct groups of countries according to national competitiveness (GCI), public debt (PD) an…

sovereign debt crisis country risk fiscal and budgetary discipline competitivenessStudies in Business and Economics
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Economic Crises, Sovereign Debt Restructurings and the Shifting Landscape of International Investment Law

2016

International audience

sovereign debt restructuring[SHS.DROIT]Humanities and Social Sciences/Lawinvestor-state dispute settlement (ISDS)[SHS.DROIT] Humanities and Social Sciences/Lawinternational investment laweconomic crisisComputingMilieux_MISCELLANEOUS[ SHS.DROIT ] Humanities and Social Sciences/Law
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