A Structural Approach to Estimate Market-Assessed Sovereign Credit Risk

Wang, Jue; Švec, Jiří; Peat, Maurice

doi:10.2139/ssrn.2132215

Cited by 1 publication

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“…A discussion by Gray et al (2007), arguing that balance sheets of countries and corporations show similarities in structure and priorities, encourages authors to use data from government budget sheets in the structural model of Merton (see Table A.1). Empirical analyses of sovereign debt defaults have been carried out for emerging economies (Duyvesteyn & Martens, 2011) and European countries (Wang et al, 2012;Ruiz-Porras & Juárez, 2015). All the mentioned studies use information on sovereign credit risks from sovereign credit default swap (CDS) spreads, financial assets and liabilities of sovereign countries (like the ratio of financial assets to total liabilities) together with volatility measures in their regression models.…”

Section: Sovereign Bondsmentioning

confidence: 99%

Fiscal Policies for a Low-Carbon Economy

Semmler¹,

Braga²,

Lichtenberger³

et al. 2021

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This work is a product of the staff of The World Bank with external contributions. The findings, interpretations, and conclusions expressed in this work do not necessarily reflect the views of The World Bank, its Board of Executive Directors, or the governments they represent.The World Bank does not guarantee the accuracy, completeness, or currency of the data included in this work and does not assume responsibility for any errors, omissions, or discrepancies in the information, or liability with respect to the use of or failure to use the information, methods, processes, or conclusions set forth. The boundaries, colors, denominations, and other information shown on any map in this work do not imply any judgment on the part of The World Bank concerning the legal status of any territory or the endorsement or acceptance of such boundaries.Nothing herein shall constitute or be construed or considered to be a limitation upon or waiver of the privileges and immunities of The World Bank, all of which are specifically reserved.

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Section: Sovereign Bondsmentioning

confidence: 99%