Implied liquidity risk premium in the term structure of sovereign credit default swap and bond spreads

Badaoui, Saad; Cathcart, Lara; El-Jahel, Lina

doi:10.1080/1351847x.2014.996297

Cited by 9 publications

(1 citation statement)

References 40 publications

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“…On the other hand, a vast amount of researchers, have analysed the risk premium in emerging economies (Gilchrist et al, 2022;Bizuneh & Geremew, 2021;Arellano et al, 2020;Hofmann et al, 2020;Malliaropulos & Migiakis, 2018;Balima et al, 2017;Stolbov, 2017;Badaoui et al, 2016;Erdem & Varli, 2014;Martínez et al, 2013;Gumus, 2011). Özmen (2019) finds that developing economies' bond yields and Credit Default Swap premiums are more vulnerable to government borrowing, current account, and GDP enlargement than developed (eurozone) countries, indicating that financial markets are more sensitive to amendments in fiscal and current account shifts in developing countries.…”

Section: Literature Reviewmentioning

confidence: 99%

Global Patterns and Extreme Events in Sovereign Risk Premia: A Fuzzy S Deep Learning Comparative

Alaminos,

Salas,

Fernández-Gámez

2024

Technological and Economic Development of Economy

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Investment in foreign countries has become more common nowadays and this implies that there may be risks inherent to these investments, being the sovereign risk premium the measure of such risk. Many studies have examined the behaviour of the sovereign risk premium, nevertheless, there are limitations to the current models and the literature calls for further investigation of the issue as behavioural factors are necessary to analyse the investor’s risk perception. In addition, the methodology widely used in previous research is the regression model, and the literature shows it as scarce yet. This study provides a model for a new of the drivers of the government risk premia in developing countries and developed countries, comparing Fuzzy methods such as Fuzzy Decision Trees, Fuzzy Rough Nearest Neighbour, Neuro-Fuzzy Approach, with Deep Learning procedures such as Deep Recurrent Convolution Neural Network, Deep Neural Decision Trees, Deep Learning Linear Support Vector Machines. Our models have a large effect on the suitability of macroeconomic policy in the face of foreign investment risks by delivering instruments that contribute to bringing about financial stability at the global level.

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