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The Analysis of Sovereign Risk Based on Sovereign Debt Crisis

Author: JinPeng
Tutor: WeiYongFen
School: Dongbei University of Finance
Course: Finance
Keywords: Sovereign risk Sovereign debt crisis CCA analysis
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 637
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Abstract


Since the 2008 financial crisis, the sovereign debt crisis-prone, many countries surge in sovereign risk, sovereign debt crisis has become the main factors that affect regional economic development and financial stability in the financial crisis. Due to the increase in sovereign risk is too complex, and the various elements of the national risk weight, it is difficult to have a unified measure, in addition, some of these factors can not be quantitative analysis, qualitative analysis results in the sovereign risk rating led to different rating agencies object of the same rating rating differences. Research trends quantitative analysis of sovereign credit risk, to form a standard measure of sovereign risk is relatively uniform. Improve the predictive power of the sovereign credit default. In this paper, the following analysis: First, the paper reviews the various theories and literature of sovereign credit risk analysis, sovereign risk analysis of the current situation and the presence of some controversy were discussed. The same time, the definition of sovereign risk and country risk difference between various academic concept of sovereign risk analysis, defined in this paper is to use the concept of sovereign risk, and introduced the ideas of this research. Secondly, the the various analytical framework of the sovereign risk discusses the evaluation of the various methods of sovereign credit risk analysis were compared, pointed out the advantages and disadvantages of the various methods, leads to the theoretical basis of this paper is to use, and this theory The basis for the elaboration. Measuring sovereign risk mainly structural credit risk models based on the structural credit risk models to be amended to conform with the characteristics of the country. This mode is different from the credit rating agency's sovereign risk evaluation methods, the traditional sovereign risk analysis based on macro-economic indicators and the expected unquantifiable political risk and impact resistance, financial system stability, financing capacity and international trade balance accuracy decreased, external financing capacity, including the current account financing and capital flows and external debt sustainability, the relationship between these factors is difficult to predict, so the mode of analysis in the traditional sovereign risk analysis of the sovereign risk . In order to increase the predictability of sovereign debt default 'to improve the accuracy of sovereign risk analysis used herein, the analytical model based Morton model is derived. In this paper, the balance sheet as a sovereign state to build a market-oriented, to bring them into conformity with the characteristics of credit risk analysis, the difference between the sovereign state and enterprises are analyzed and compared to the original credit risk assessment model to modify, and then derive the measurement and analysis of sovereign risk indicators, including the distance to default, probability of default and credit spreads. 12 emerging sovereign economy data to verify the relationship between indicators of credit risk and market data, inspection and credit risk analysis of the stability of the indicators and correlations, as well as the practical value of the test analysis indicators, using the analysis in Part IV. specific sovereign state's sovereign credit risk measurement and analysis. Finally, based on the equity method of analysis of the sovereign risk of the proposal, the sovereign credit risk analysis gives a simple interpretation of the results. Or the equity method of analysis to verify the direction and trend of the Greek sovereign risk, description, or the equity method can be used for the actual analysis and calculation of the country's sovereign credit risk, and relative rating more prominent. Event of default of sovereign debt in a recession or downturn in the economic cycle stage, the probability of the outbreak is relatively large, rely on the traditional sense of the sovereign rating agency monopoly on sovereign risk rating methodology has become outdated, the shortcomings and deficiencies were also among the the financial crisis fully reveal the presence of a variety of standard rating also makes sovereign ratings with certain discriminatory Color, serious lag and standard non-consistency of the international market for many investors damage. Therefore, frequent sovereign debt default event analysis and measurement requirements for sovereign debt default built on a more objective, more scientific and more equitable evaluation mode, so as to maintain the stability of the international markets and the global economy sustainable development.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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