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Recursos bibliográficos en papel y digitales -
- libros, artículos de revistas,
ponencias de eventos, etc. -
» Resultado:
17 registros
| Registro 1 de 17 |
| Autor: |
Delfau, Emiliano - |
| Título: |
Risk framework analysis in the management of sovereign debt: the Argentine case |
| Fuente: |
Documentos de Trabajo UCEMA, n.634. Universidad del CEMA |
| Páginas: |
30 p. |
| Año: |
jul. 2018 |
| Resumen: |
The main objective of this paper is to develop a practical approach to Argentina’s sovereign risk management. Through Contingent Claim Analysis (CCA), Gape, Gray, Lim and Xiao (2008)[1] developed a sovereign risk framework whereby we can construct a marked to market sovereign balance sheet and obtain a set of credit risk indicators that can help policy-makers: set thresholds for foreign reserves, design risk mitigation strategies and select best policy options. The main contribution is that instead of using a conventional index such as GBI-EM in order to estimate the volatility of domestic currency liabilities, we use 24 sovereign domestic currency bonds to construct an interest rate covariance matrix. That is, an interest rate sensitive sovereign portfolio, whose risk factor variations are represented by a vector of the portfólio PV01 (present value of a basis point change) with respect to each interest rate of the zero-coupon yield curve. Since zero-coupon rates are rarely directly observable, we must estimate them from market data. In this paper we implemented a widely-used parametric term structure estimation method called Nelson and Siegel. For Argentina we generated two yield curves, i.e., sets of fixed maturity interest rates determined by Badlar and CER. |
| Palabras clave: |
RIESGO FINANCIERO |
RIESGO DEL CREDITO |
RESERVAS DE DIVISAS |
DEUDA PUBLICA |
ESTUDIOS DE CASOS |
POLITICA ECONOMICA |
POLITICA MONETARIA |
FINANCIAMIENTO |
ARGENTINA |
|
| Solicitar por: |
HEMEROTECA D + datos de Fuente |
| Registro 2 de 17 |
| Autor: |
De Angelis, Luca - Gardini, Attilio |
| Título: |
Disequilibria and contagion in financial markets: evidence from new test |
| Fuente: |
Journal of Applied Economics. v.18, n.2. Universidad del CEMA |
| Páginas: |
pp. 247-265 |
| Año: |
Nov. 2015 |
| Resumen: |
This paper provides an analysis of contagion by measuring disequilibria in risk premium dynamics. We propose to test financial contagion using an econometric procedure where we first estimate the preference parameters of the consumption-based asset pricing model (C-CAPM) to measure the equilibrium risk premia in different countries and then we consider the difference between empirical and equilibrium risk premia to test crosscountry disequilibrium episodes due to contagion. Disequilibrium in financial markets is modeled by the multivariate DCC-GARCH model including a deterministic crisis variable. Our approach allows to identify the disequilibria generated by increases in volatility that is not explained by fundamentals but is endogenous to financial markets and to evaluate the existence of contagion effects defined by exogenous shifts in cross-country return correlations during crisis periods. Our results show evidence of contagion from the U.S. to U.K., Japan, France, and Italy during the crisis started in 2007-08. |
| Palabras clave: |
MERCADO FINANCIERO |
RIESGOS |
RIESGO FINANCIERO |
TRANSACCIONES INVISIBLES |
CRISIS FINANCIERA |
PRECIOS DE MERCADO |
ESTUDIO DE CASOS |
EQUILIBRIO ECONOMICO |
CAMBIO ECONOMICO |
FINANCIAMIENTO |
|
| Solicitar por: |
HEMEROTECA J + datos de Fuente |
| Registro 3 de 17 |
| Autor: |
Picorelli, Julieta |
| Título: |
Sovereign default risk and depositor behavior: the case of Greece |
| Fuente: |
Revista de Economía Política de Buenos Aires. año 8, v.13. Universidad de Buenos Aires. Facultad de Ciencias Económicas |
| Páginas: |
pp. 109-144 |
| Año: |
nov. 2014 |
| Resumen: |
This paper studies the effect of the Greek macroeconomic crisis on depositors’ behavior. It tests the main hypothesis during that period depositors react more to sovereign risk than to the idiosyncratic indicators of bank health. Using a quarterly panel dataset of Greek banks from June 2005 to September 2012, this paper finds that the withdrawal of deposits at the outbreak of the crisis can be mainly explained by the country risk variable, represented by sovereign spreads, controlling for bank-specific characteristics. Market discipline is also present, especially pre-crisis. Results are consistent with the existing literature and robust to different estimation methods. |
| Palabras clave: |
CRISIS FINANCIERA |
PAGOS INTERNACIONALES |
RIESGO FINANCIERO |
DEPOSITOS BANCARIOS |
COMPORTAMIENTO |
MERCADO FINANCIERO |
ORGANISMOS ESPECIALIZADOS |
DEUDA EXTERNA |
REESTRUCTURAMIENTO FINANCIERO |
CESACION DE PAGOS |
|
| Solicitar por: |
HEMEROTECA R + datos de Fuente |
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