JEL Classification F34
"International Lending and Debt Problems"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the F34 classification. (sorted by date) Asymmetric Shocks, Long-term Bonds and Sovereign Default
by Junjun Zhu of the Fudan University, and
Shiyu Xie of the Fudan University
(170K PDF) -- 8 pages -- January 18, 2011 To Err is Human: US rating agencies and the interwar foreign government debt crisis
by Marc Flandreau of the Graduate Institute of International and Development Studies,
Norbert Gaillard of Sciences Po, Paris, and
Frank Packer of the Bank for International Settlements
(2,519K PDF) -- 15 pages -- December 2010 The Dynamics of Sovereign Credit Risk
by Alexandre Jeanneret of the University of Lausanne & Swiss Finance Institute
(1,337K PDF) -- 48 pages -- August 4, 2009 A Model of Asset Pricing under Country Risk
by Sandro C. Andrade of the University of Miami
(466K PDF) -- 25 pages -- June 2009 The Use (and Abuse) of CDS Spreads During Distress
by Manmohan Singh of the International Monetary Fund, and
Carolyne Spackman of the International Monetary Fund
(705K PDF) -- 13 pages -- March 2009 Sovereign Risk Premia
by Nicola Borri of Boston University, and
Adrien Verdelhan of Boston University
(392K PDF) -- 49 pages -- December 1, 2008 Reverse-engineering Country Risk Ratings: A combinatorial non-recursive model
by Peter L. Hammer of Rutgers University,
Alexandr Kogan of Rutgers University, and
Miguel A. Lejeune of George Washington University
(473K PDF) -- 31 pages -- September 1, 2008 Determinants of Sovereign Risk: Macroeconomic fundamentals and the pricing of sovereign debt
by Jens Hilscher of Brandeis University, and
Yves Nosbusch of the London School of Economics
(413K PDF) -- 66 pages -- July 2008 Heterogeneous Borrowers in Quantitative Models of Sovereign Default
by Juan Carlos Hatchondo of the Federal Reserve Bank of Richmond,
Leonardo Martinez of the Federal Reserve Bank of Richmond, and
Horacio Sapriza of Rutgers University
(413K PDF) -- 35 pages -- July 10, 2007 Default Risk and Income Fluctuations in Emerging Economies
by Cristina Arellano of the University of Minnesota & the Federal Reserve Bank of Minneapolis
(347K PDF) -- 33 pages -- July 2007 The Empirical Determinants of Local-Currency-Denominated Corporate Spreads in Emerging Economies: Evidence from South Africa
by Martin Grandes of the the American University of Paris, and
Marcel Peter of Swiss National Bank
(338K PDF) -- 40 pages -- July 2007 Credit Derivatives and Sovereign Debt Crises
by Benedikt Goderis of the University of Oxford, and
Wolf Wagner of Cambridge University & Tilburg University
(209K PDF) -- 32 pages -- March 23, 2007 Liebig, Thilo, Daniel Porath, Beatrice Weder, Michael Wedow, "Basel II and Bank Lending to Emerging Markets: Evidence from the German banking sector", Journal of Banking & Finance, Vol. 31, No. 2, (February 2007), pp. 401-418. Reverse Engineering Banks Financial Strength Ratings Using Logical Analysis of Data
by Peter L. Hammer of Rutgers University,
Alexander Kogan of Rutgers University, and
Miguel A. Lejeune of Carnegie Mellon University
(375K PDF) -- 31 pages -- January 2007 Sovereign Debt Spreads in a Markov Switching Regime
by Burcu Eyigungor of the University of California, Los Angeles
(197K PDF) -- 19 pages -- November 13, 2006 Sovereign Debt Crises and Credit to the Private Sector
by Carlos Arteta of the Federal Reserve Board, and
Galina Hale of the Federal Reserve Bank of San Francisco
(323K PDF) -- 42 pages -- December 15, 2006 The Pricing of Credit Default Swaps During Distress
by Jochen Andritzky of the International Monetary Fund, and
Manmohan Singh of the International Monetary Fund
(423K PDF) -- 25 pages -- November 2006 Predicting Sovereign Debt Crises Using Artificial Neural Networks: A comparative approach
by Marco Fioramanti of the Istituto di Studi e Analisi Economica - (ISAE)
(323K PDF) -- 32 pages -- October 2006 Country Default Probabilities: Assessing and Backtesting
by Stefan Huschens of the Technische Universität Dresden,
Alexander Karmann of the Technische Universität Dresden,
Dominik Maltritz of the Technische Universität Dresden, and
Konstantin Vogl of the Technische Universität Dresden
(263K PDF) -- 20 pages -- September 1, 2006 Why Are There Serial Defaulters? Evidence from Constitutions
by Emanuel Kohlscheen of the University of Warwick
(167K PDF) -- 32 pages -- August 2006 How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa
by Marcel Peter of Swiss National Bank, and
Martin Grandes of the American University of Paris
(928K PDF) -- 64 pages -- November 2005 Determinants of Spreads on Sovereign Bank Loans: The role of credit history
by Peter Benczur of Magyar Nemzeti Bank & Central European University, and
Cosmin Ilut of Northwestern University
(858K PDF) -- 29 pages -- November 2005 Overpricing in Emerging Market Credit-Default-Swap Contracts: Some evidence from recent distress cases
by Manmohan Singh of the International Monetary Fund, and
Jochen Andritzky of the International Monetary Fund
(367K PDF) -- 14 pages -- June 2005 "Rules of Thumb" for Sovereign Debt Crises
by Paolo Manasse of the Università di Bologna & the International Monetary Fund, and
Nouriel Roubini of the New York University
(490K PDF) -- 33 pages -- March 2005 Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets
by Didier Cossin of IMD International and FAME, and
Gero Jung of Fame, and the Graduate Institute of International Studies
(2,778K PDF) -- 35 pages -- March 2005 Predicting Default Probabilities and Implementing Trading Strategies for Emerging Markets Bond Portfolios
by Andrea Berardi of the University of Verona,
Stefania Ciraolo of the University of Leuven, and
Michele Trova of Monte Paschi A.M.
(640K PDF) -- 28 pages -- June 29, 2004 A Risk Management Approach to Emerging Markets Sovereign Debt Sustainability with an Application to Brazilian Data
by Márcio Gomes Pinto Garcia of Pontifícia Universidade Católica do Rio de Janeiro, and
Roberto Rigobon of the Massachusetts Institute of Technology
(433K PDF) -- 26 pages -- March 17, 2004 Recovery Rates from Distressed Debt - Empirical Evidence from Chapter 11 Filings, International Litigation, and Recent Sovereign Debt Restructurings
by Manmohan Singh of the International Monetary Fund
(679K PDF) -- 25 pages -- August 2003 Debt Intolerance
by Carmen M. Reinhart of the International Monetary Fund,
Kenneth S. Rogoff of the International Monetary Fund, and
Miguel A. Savastano of the International Monetary Fund
(429K PDF) -- 76 pages -- May 14, 2003 Sovereign Risk in a Structural Approach - Evaluating Sovereign Ability-to-Pay and Probability of Default
by Alexander Karmann of the Dresden University of Technology, and
Dominik Maltritz of the Dresden University of Technology
(628K PDF) -- 39 pages -- October 10, 2002 Cumby, Robert E. and Tuvana Pastine, " Emerging Market Debt: Measuring credit quality and examining relative pricing", Journal of International Money and Finance, Vol. 20, No. 5, (October 2001), pp. 591-609. Staying Afloat When the Wind Shifts: External Factors and Emerging-Market Banking Crises
by Barry Eichengreen of the International Monetary Fund, and
Andrew K. Rose of the University of California, Berkeley
(169K PDF) -- 46 pages -- December 10, 1997
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