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Probabilidade de default implícita: uma aplicação do modelo KMV para estimar a probabilidade de default de um grupo de firmas
(2019-08-21)
O risco de crédito é o risco associado a uma perda econômica decorrente de uma contraparte não cumprir com suas obrigações contratuais. O evento de não honrar com uma obrigação contratual de pagamento é denominado default ...
US real interest rates and default risk in emerging economies
(2012-09-12)
This paper empirically investigates the impact of changes in US real interest rates on sovereign default risk in emerging economies using the method of identification through heteroskedasticity. Policy-induced increases ...
Fuzzy Similarity and Counterfactuals in the Assessment of Default Risk: the Eurozone Crisis and the Argentinean Solution
(International Association for Fuzzy-Set Management and Economy, 2015-05)
We present an approach, based on the notion of fuzzy similarity, to the comparison of economies under default risk. We run a counterfactual analysis of the perspectives of the most troubled countries in the Eurozone compared ...
Endogenous borrowing constraints and default when markets are incomplete
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2001-09-17)
Incomplete markets and non-default borrowing constraints increase the volatility of pricing kernels and are helpful when addressing assetpricing puzzles. However, ruling out default when markets are in complete is suboptimal. ...
Estudo sobre o efeito de variáveis macro econômico e do spread de credit default swap no risco de evento de crédito soberano
(2012)
This paper explores the sovereign default due to the structure of Credit Default Swap spreads. These spreads show the default probability of a country. The methodology proposed in this paper applied for Argentina, Korea, ...
Mechanisms of default risk transmission and economic policy coordination
(2016-12)
This paper analyses the coordination between monetary and fiscal policy in an emerging economy with an inflation-targeting monetary regime, in a context in which default risk shocks can lead to macroeconomic imbalances. ...
Sovereign debt default: Are countries trapped by their own default history?
(Universidad de Chile, Facultad de Economía y Negocios, 2015-12)
Why are sovereign debt defaults so persistent in some EMEs, even at relatively
low levels of external debt? The empirical literature has argued that the country s
record of defaults is the main determinant of the future ...
Trading constraints penalizing default: a recursive approach
(Elsevier Science Sa, 2008-01-20)
This paper proves existence of an ergodic Markov equilibrium for a class of general equilibrium economies with infinite horizon, incomplete markets, and default. Agents may choose to deny their liabilities and face trading ...
Financial dollarization and systemic risks: new empirical evidence
(Elsevier Sci Ltd, 2012-10)
This paper explores the persistence of financial dollarization in a group of 79 economies with different levels of development. Our main hypothesis is that a high level of domestic debt combined with default risk explains ...
Transformações da probabilidade de default: do mundo neutro a risco para o mundo real
(2015-08-24)
Este trabalho aborda os fundamentos da relação entre a medida neutra a risco e o mundo físico, apresentando algumas metodologias conhecidas de transformação da medida de probabilidade associada a cada um destes dois ...