Sovereign Risk and Financial Crises

Voorkant
Michael Frenkel, Alexander Karmann, Bert Scholtens
Springer Science & Business Media, 11 aug 2004 - 258 pagina's

Sovereign risk and financial crises play a key role in current international economic developments, particularly in the case of economic downturns. As the Asian economic crisis in the late 1990s revealed once again, financial crises are the rule rather than the exception in capitalist economies. The event also revealed that international public debt agreements are contingent claims. In a world of increasing economic interdependencies, the issues of financial crises and country defaults are of critical importance. This volume goes to the heart of the academic discussion on sovereign risk and financial crises by centering on quantitative-empirical aspects, evaluating prominent approaches, and by proposing new methods. Part I of the volume identifies key factors and processes that are central in analyzing sovereign risk while Part II focuses on the determinants and effects of financial crises.

 

Inhoudsopgave

Principles Practices and Policies
5
Country Default Risk and the Determinants of Sovereign Debt Discounts
31
A Structural Approach
53
Sovereign Ratings and Financial Crises
77
The Impact of Sovereign Rating Changes during Emerging Market Crises
91
Managing Sovereign Credit Risk with Derivatives
115
Part II Financial Crises
127
Crises and Contagion in Financial Markets
129
Contagion and the Behavior of International Equity Funds
145
Identifying the Role of Contagion in Currency Crises with MarkovSwitching Models
157
Were there Differences?
179
The Real Impacts of Excessive Exchange Rate Volatility in Emerging Markets
193
Lessons from New Approaches
205
The Credibility of Private Sector Involvement in the Resolution of Financial Crises
221
Experiences from Argentina and Bulgaria
239
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