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Feats And Failures Of Corporate Credit Risk, Stock Returns, And The Interdependencies Of Sovereign Credit Risk, Uche C. Isiugo
Feats And Failures Of Corporate Credit Risk, Stock Returns, And The Interdependencies Of Sovereign Credit Risk, Uche C. Isiugo
University of New Orleans Theses and Dissertations
This dissertation comprises two essays; the first of which investigates sovereign credit risk interdependencies, while the second examines the reaction of corporate credit risk to sovereign credit risk events. The first essay titled, Characterizing Sovereign Credit Risk Interdependencies: Evidence from the Credit Default Swap Market, investigates the relationships that exist among disparate sovereign credit default swaps (CDS) and the implications on sovereign creditworthiness. We exploit emerging market sovereign CDS spreads to examine the reaction of sovereign credit risk to changes in country-specific and global financial factors. Utilizing aVAR model fitted with DCC GARCH, we find that comovements of spreads …