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Sovereign risk - How can we measure it?

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F11%3A10100209" target="_blank" >RIV/00216208:11230/11:10100209 - isvavai.cz</a>

  • Alternative codes found

    RIV/00216275:25410/11:39892868

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Sovereign risk - How can we measure it?

  • Original language description

    This paper focuses on sovereign credit risk meaning a hot topic related to the current Eurozone crisis that started in early 2010. In the light of the recent financial crisis, market perception of the creditworthiness of individual sovereigns has changedsignificantly. Before the outbreak of the financial crisis, market participants did not differentiate between credit risk born by individual states despite different levels of public indebtedness. In the proceeding of the financial crisis, the market participants became aware of the worsening fiscal situation in the European countries and started to discriminate among government issuers. Concerns about the increasing sovereign risk were reflected in surging sovereign risk premium. The main aim of thispaper is to shed light on the characteristics of the sovereign risk with the special attention paid to the mutual relation between credit spread and the CDS premium as the main measures of the sovereign risk premium.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

    Result was created during the realization of more than one project. More information in the Projects tab.

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)<br>S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2011

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Scientific Papers of the University of Pardubice. Series D, Faculty of Economics and Administration.

  • ISSN

    1211-555X

  • e-ISSN

  • Volume of the periodical

    19

  • Issue of the periodical within the volume

    1

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    11

  • Pages from-to

    17-27

  • UT code for WoS article

  • EID of the result in the Scopus database