An asymmetric dynamic conditional correlation analysis of linkages of European financial institutions during the Greek sovereign debt crisis

This chapter considers the response to the European banking and sovereign debt crisis, which resulted in the introduction of the Bank Recovery and Resolution Directive (BRRD). It also considers the Single Supervisory Mechanism (SSM) and a Single Resolution Mechanism (SRM) which will be implemented to facilitate the supervision and resolution of certain financial institutions in the Eurozone. The chapter looks at the consequences of these reform measures and explains the salient features of the new framework of supervisory and resolution intervention. It also looks separately at the EBA technical standards and guidance where necessary to assist the interpretation of the provisions in the directive.

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European Sovereign Debt Crisis and its Impact on Financial Markets and Institutions

American Journal of Trade and Policy ◽

10.18034/ajtp.v2i3.391 ◽

2015 ◽

Vol 2 (3) ◽

pp. 113-120

Author(s):

Afzal Ahmad

Keyword(s):

Gross Domestic Product ◽

Financial Institutions ◽

Sovereign Debt ◽

Debt Crisis ◽

Domestic Product ◽

Sovereign Debt Crisis ◽

Policy Makers ◽

Markets And Institutions ◽

European Sovereign Debt Crisis ◽

The Impact

This paper examines the European sovereign debt crisis that began in 2009; it mostly considers Greece and then Italy and Portugal since they were affected by the crisis. It gives the emergence and the causes of the crisis as well as its effect on their debt as a percentage to Gross Domestic Product and their Real Gross Domestic Product. It also analyses the impact on sovereign bond and its yields, the stock, gold, derivatives and forex markets, including the impact on financial institutions, it uses graphical illustrations from Bloomberg to back the analysis. It further assesses the measures taken so far by policy makers and financial institutions to curb the situation. It finally considers the impact of the crisis on financial landscape and lessons learnt from it.

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POSSIBILITY OF RUSSIAN BONDSPOTFOLIO DIVERSIFICATION THROUGH THE USE OF ISLAMIC BONDS DURING THE COVID-19 PANDEMIC

Вестник Тверского государственного университета. Серия: Экономика и управление ◽

10.26456/2219-1453/2021.3.201-209 ◽

2021 ◽

pp. 201-209

Author(s):

Галина Львовна Толкаченко ◽

Павел Андреевич Карасев

Keyword(s):

Correlation Analysis ◽

Negative Correlation ◽

Sovereign Debt ◽

Corporate Bonds ◽

Suitable Model ◽

Investment Management ◽

Conditional Correlation ◽

Conditional Heteroscedasticity ◽

Dynamic Conditional Correlation ◽

Autoregressive Conditional Heteroscedasticity

Диверсификация - один из важнейших элементов в инвестиционной деятельности. Инвесторы пытаются найти баланс при формировании портфеля и его реструктуризации, стремясь одновременно максимизировать доходность и минимизировать риски. Целью данной работы является оценка возможности диверсификации портфеля облигаций российского рынка с помощью включения альтернативной традиционным облигациям формы - сукук в условиях пандемии COVID-19. Представленный в статье анализ такой возможности составляет определенный элемент новизны. В качестве наиболее подходящей модели для корреляционного анализ выбрана «DCC-MGARCH» модель (динамическая модель авторегрессионной условной гетероскедастичности). Результаты исследования показывают, что инвесторы, предпочитающие долговые суверенные ценные бумаги России и корпоративные облигации российских компаний, имеют возможность диверсифицировать портфель путем включения исламских облигаций. Данный вывод объясняется наличием отрицательной корреляционной связи между индексом сукук и индексами российских облигаций, как корпоративных, так и суверенных. Diversification is one of key elements in investment management. Investors strive to find a balance in the formation of a portfolio and its restructuring, simultaneously maximizing profitability and minimizing risks. The purpose of this work is to assess the possibility of diversification of the Russian bonds portfolioby including an alternative to traditional bonds-sukuk. The DCC-MGARCH model (Dynamic Conditional Correlation Multivariate General Autoregressive Conditional Heteroscedasticity Model) was chosen as the most suitable model for correlation analysis. The results of the study show that investors who prefer Russian sovereign debt securities or corporate bonds of Russian companies couldeffectively diversify their portfolio by including Islamic bonds during the COVID-19 pandemic. This conclusion is explained by the presence of a negative correlation between the Dow Jones Sukuk Index as a proxy for sukuk market and the indices of Russian bonds, both corporate and sovereign.

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European Economies Stability Faced With Potential Outburst of Sovereign Debt Crisis. An Empirical Study Using Neural Network

INTERNATIONAL JOURNAL OF COMPUTERS & TECHNOLOGY ◽

10.24297/ijct.v12i2.3318 ◽

2013 ◽

Vol 12 (2) ◽

pp. 3255-3260

Author(s):

Stelian Stancu ◽

Alexandra Maria Constantin

Keyword(s):

Neural Network ◽

Sovereign Debt ◽

Debt Crisis ◽

Banking System ◽

Sovereign Debt Crisis ◽

European Level ◽

Continuous Growth ◽

Economic Context ◽

European Economies ◽

The Impact

Instilment, on a European level, of a state incompatible with the state of stability on a macroeconomic level and in the financial-banking system lead to continuous growth of vulnerability of European economies, situated at the verge of an outburst of sovereign debt crises. In this context, the current papers main objective is to produce a study regarding the vulnerability of European economies faced with potential outburst of sovereign debt crisis, which implies quantitative analysis of the impact of sovereign debt on the sensitivity of the European Unions economies. The paper also entails the following specific objectives: completing an introduction in the current European economic context, conceptualization of the notion of â€œsovereign debt crisis, presenting the methodology and obtained empirical results, as well as exposition of the conclusions.

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