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2014•UPT. Syiah Kuala University Library (Syiah Kuala University)Open access

The Pricing of Sovereign Credit Risk: Theory and Applications

Jue Wang

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Abstract

To provide new insights into the factors influencing sovereign credit risk, this thesis proposes and extends a theoretical sovereign credit risk pricing model based on the structural framework of Merton (1974). In a sequence of essays, the model is then applied to investigate the effect of equity market volatility, fiscal opacity and reporting bias on sovereign credit spreads.

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To provide new insights into the factors influencing sovereign credit risk, this thesis proposes and extends a theoretical sovereign credit risk pricing model based on the structural framework of Merton (1974). In a sequence of essays, the model is then applied to investigate the effect of equity market volatility, fiscal opacity and reporting bias on sovereign credit spreads.

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Available abstract

To provide new insights into the factors influencing sovereign credit risk, this thesis proposes and extends a theoretical sovereign credit risk pricing model based on the structural framework of Merton (1974). In a sequence of essays, the model is then applied to investigate the effect of equity market volatility, fiscal opacity and reporting bias on sovereign credit spreads.

Key concepts: Credit risk, Financial economics, Business, Economics, Financial system, Actuarial science

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