Sovereign debt risk and financial markets: three essays

Abstract

This thesis is divided into five chapters. Chapter one presents the time line of the global financial crisis and the Eurozone sovereign debt crisis. Chapter two attempts to estimate the effect of sovereign credit rating changes on the pricing of default risk of Euro-zone States. Chapter three investigates empirically the contagion of default risk between the Euro-zone States and their banking sectors. Chapter four studies the determinants of default risk valuation for Euro-zone’s financial institutions. Chapter five concludes with a summary of the main contributions of the thesis.