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Sovereign default risk and depositor behavior : the case of Greece
(Universidad de San Andrés. Departamento de Economía, 2013-07)
This thesis studies the effect of the Greek macroeconomic crisis on depositors’ behavior. It
briefly describes the evolution of the Greek crisis and then formally tests the main hypothesis
that during that period depositors ...
Risk premium on sovereign bonds and budgetary discretion vs. rules for a developing country: the case of Brazil
(2005-11-24)
Given the current stabilization policies, the Brazilian economy gives a vivid example of the impact of several factors, such as the degree of institutionalization of the budgetary and monetary policies that are followed ...
Self-fulfilling debt dilution : maturity and non-existence of equilibrium in debt models
(2022-07-01)
Nesta dissertação eu demonstro que em modelos de dívida soberana de longo-prazo , as expecta-
tivas dos credores acerca dos preços dos títulos e do nível de endividamento do país no futuro
podem ser auto-realizáveis, ...
Credit ratings and government bonds: evidence before, during and after the european debt crisis
(2016-01-18)
Neste projeto, investigamos se as agências de rating e as taxas de juro de longo prazo da dívida soberana tiveram uma influência recíproca antes, durante e após a crise da dívida soberana Europeia. Esta análise é ...
AN ANALYSIS OF ARGENTINA’S 2001 DEFAULT RESOLUTIONANÁLISIS DE LA RESOLUCIÓN DEL DEFAULT DE ARGENTINA DE 2001
(FACULTAD DE CIENCIAS ECONÓMICAS - UNIVERSIDAD DE BUENOS AIRES, 2019)
Monetary policy, default risk and the exchange rate
(Fundação Getúlio Vargas, 2011)
In a country with high probability of default, higher interest rates may render the currency less attractive if sovereign default is costly. This paper develops that intuition in a simple model and estimates the effect of ...
Term Structure of Sovereign Spreads - A Contingent Claim Model
(EGV EPGE, 2007)
Term Structure of Sovereign Spreads - A Contingent Claim Model
(EGV EPGE, 2007)
Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis
(Springer, 2005-06)
In this paper we describe a two-factor model for a defaultable discount bond, assuming log-normal dynamics with bounded volatility for the instantaneous short rate spread. Under some simplified hypothesis, we obtain an ...
Dívida pública estadual no Brasil: uma análise de risco de crédito
(Universidade Federal de Minas GeraisBrasilFACE - FACULDADE DE CIENCIAS ECONOMICASPrograma de Pós-Graduação em AdministraçãoUFMG, 2021-07-15)
As public debt reaches record levels in 2021 and crises expand the public's financing needs, credit risk is highlighted as a useful metric for potential creditors and also for the public entities themselves, in terms of ...