Browsing Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance by Subject "Conditional Value-at-Risk"
Now showing items 1-3 of 3
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Working Paper Open Access
Portfolio diversification in the sovereign credit swap markets
(Springer, 2017-05)We develop models for portfolio diversification in the sovereign credit default swap (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient ...
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Working Paper Open Access
Risk management for sovereign financing within a debt sustainability framework
(European Stability Mechanism Working Paper No. 31, 2018-09)The mix of instruments used to finance a sovereign is a key determinant of debt sustainability through its effect on funding costs and risks. We extend standard debt sustainability analysis to incorporate debt-financing ...
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Working Paper Open Access
Risk management optimization for sovereign debt restructuring
(Journal of Globalization and Development, Vol. 6(2), pp. 181–213, Feb. 2016.; The Wharton School Financial Institutions Centre No. 14-10., 2015-12)Debt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario ...