Sovereign Risk
Mostrando 1-12 de 23 artigos, teses e dissertações.
-
1. MULTI-AGENT BASED MODELING APPLIED TO PORTFOLIO SELECTION IN THE DOOM-LOOP OF SOVEREIGN DEBT CONTEXT*
ABSTRACT This study explores the self-fulfilling dynamic between sovereign debt risk and rational choices of neutral, risk-seeking and risk-averse investors, with implications to the systemic risk emergence. The agent-based model parameterization includes investment strategy (randomly selected assets, stock exchange participation, economic segment, and techn
Pesqui. Oper.. Publicado em: 09/05/2019
-
2. Can accounting-based and market-based indicators predict changes in the risk rating of brazilian banks?
Resumo Objetivo: A presente pesquisa buscou analisar se os indicadores de mercado, de forma complementar aos indicadores contábeis, têm capacidade de antecipar alterações (downgrades ou upgrades) nas avaliações de classificação de risco (rating) dos bancos no Brasil. Metodologia: Regressões lineares em modelos probit, a partir de uma amostra colet
Rev. bras. gest. neg.. Publicado em: 2019-01
-
3. US real interest rates and default risk in emerging economies
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 in US interest rates starkly raise default risk in emerging market economies. However, the overall correlation between US real interest rate
Publicado em: 12/09/2012
-
4. US real interest rates and default risk in emerging economies
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 in US interest rates starkly raise default risk in emerging market economies. However, the overall correlation between US real interest rate
Publicado em: 04/08/2011
-
5. Três estudos econométricos sobre o papel das reservas internacionais brasileiras
Nesta tese são desenvolvidos três estudos sobre as reservas internacionais brasileiras, utilizando diferentes técnicas econométricas, com o objetivo de determinar a influência de medidas absolutas e relativas de reservas sobre o rating soberano de crédito e o spread soberano, bem como o nível adequado para garantir a liquidez externa. As análises for
Publicado em: 2010
-
6. EXTRACTING COMMON FACTORS AMONG EXCHANGE RATE REAL/DOLLAR, EMERGENT MARKET BOND INDEX+BRAZIL AND IBOVESPA, VIA FILTRO DE KALMAN / EXTRAÇÃO DE FATOR COMUM ENTRE AS VOLATILIDADES DOS RETORNOS DA TAXA DE CÂMBIO REAL/DÓLAR, RISCO-PAÍS E IBOVESPA VIA FILTRO DE KALMAN
Historically, financial variables¿ volatilities are drastically affected during economical crisis periods. In particular, this statement is valid for the exchange rate between brazilian and north american currencies, the São Paulo Stock Exchange Index (Ibovespa) and the Emerging Market Bond Index + Brazil, usually interpreted as a measure of brazilian sove
Publicado em: 2010
-
7. RISCO SOBERANO, VOLATILIDADE E PADRÃO-OURO: 1870¿1930 / SOVEREIGN RISK, VOLATILITY AND THE GOLD STANDARD: 1870-1930
This research documents the relationship between sovereign risk volatility and gold standard adherence in the classical period comprised between 1870 and 1914. The application the econometric model of FCGARCH (or Flexible Coefficient GARCH) provides evidence that regimes of low volatility of spreads ¿ as measured by the difference between the interest rate
Publicado em: 2009
-
8. Brasil como investment grade, realidade ou ficção?
O presente trabalho tem como objeto o conceito e os determinantes dos sovereign ratings (risco de crédito de Estados soberanos), bem como busca a compreensão do papel cumprido pelas agências de rating internacionais que atuam como referência usada aos agentes econômicos, na avaliação de risco em operações com títulos de dívida de soberanos. O trab
Publicado em: 2009
-
9. EFFECTS OF LATIN AMERICA SOVEREIGN RATINGS CHANGES OVER THE BRAZILIAN STOCK MARKET / EFEITOS DE MUDANÇAS DE RATINGS DE PAÍSES DA AMÉRICA LATINA NO MERCADO ACIONÁRIO BRASILEIRO
The objective of this study was to investigate if sovereign rating changes for Latin America affect the Brazilian stock market. To measure this potential impact, the parametrical statistical test of event study was adopted, commonly used in semi-strong market efficiency tests. The results support the idea of contagion effects in the Brazilian Market through
Publicado em: 2008
-
10. A fronteira clinica-prevenção : por uma outra analitica do poder / The border clinic-prevention : another analytical of the power
This dissertation seeks affirm the relationship between knowledge and clinical preventive as constitutive relation of the field of health from the Modernity. From this statement, maps the changes in the relationship between these two knowledge from the analysis of diagrams of power that you are contemporary. To make such mapping, was necessary to produce a m
Publicado em: 2008
-
11. Analysis of sovereign spreads sensitivity: another channel for domestic factors influence? / Análise da sensibilidade dos spreads soberanos: um canal indireto de influência de fatores domésticos?
This paper aims to analize the sensitivity of sovereign spreads to changes in the external environment. The object is to demonstrate that spread sensitivity varies among emerging markets and that part of the differences observed could be traced to discrepancies in their respective domestic fundamentals, which establish an indirect influence channel of fundam
Publicado em: 2007
-
12. Welfare costs of taxation under sovereign default risk / Custos de bem-estar dos impostos sob risco de default soberano
This dissertation presents a general equilibrium model, with contingent service of sovereign debt, constructed to analyze the impacts of taxes on welfare. In this model, variations on the tax structure (originated from reforms) impact welfare directly, in the form of allocative distortions, and also through their indirect effects on the probability of defaul
Publicado em: 2007