Default Correlation at the Sovereign level: Evidence from some Latin American Markets

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Title:	Default Correlation at the Sovereign level: Evidence from some Latin American Markets
Authors:	陳怡璇 Chen, Yi-Hsuan
Contributors:	財務管理學系 Finance
Keywords:	信用傳染;主權信用違約交換;Copula Credit contagion;Sovereign credit default swaps;Copula
Date:	2011
Issue Date:	2014-06-27 10:46:02 (UTC+8)
Abstract:	完整且有系統的瞭解信用違約的傳染對於國家風險之評估是非常重要的。透過2001 年阿根廷信用危機為研究背景，探討拉丁美洲國家間是否產生高度的信用違約相依性。其中阿根廷、巴西、墨西哥及委內瑞拉的信用違約交換日資料透過Credit Trade 資料庫取得。研究方法乃採copula，以利拉丁美洲國家間信用相依性結構之呈現。預期研究結果如下：（1）在阿根廷信用危機期間，拉丁美洲國家間的信用違約相依性大為提高；（2）並且這些信用相依性結構可能屬非對稱性；（3）國家的信用評等等級將影響/決定其受信用危機波及之 Using the eruption of Argentina debt crisis in 2001 as a natural experiment, we investigated the correlated default at the sovereign level for some Latin American countries. Daily closing market quotes for sovereign Credit Default Swaps (CDS) of Argentina
Appears in Collections:	[Department of Finance] Journal Articles

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