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International connectivity of credit risk

International economics

Senior Researcher : Ana González Urteaga

Research Centre or Institution : Universidad Pública de Navarra.


This project aims to carry out a formal analysis of the dynamic connection of credit risk between different international financial markets, paying special attention to the determinants of such contagion, to its possible link with certain key variables, and how these relationships can be exploited in terms of economic policy. There are six papers published so far, with different objectives and methodologies, but highly interrelated with the analysis of the contagion mechanisms and the identification of the economic drivers of such connectedness during very different economic cycles.

The intensity of the global financial crisis highlighted the understanding that contagion is key to learning about financial crises and their evolution. In our studies we have studied different key aspects related to contagion, always trying to analyze the impact of the economic cycle. We have conducted a systematic review of the existing literature on credit risk contagion in emerging markets (IRFA, 2019). We have analyzed the causal relationships between sovereign CDS and the conditional volatility of stock market indices in a context of rolling windows, studying the transmission channels that occur mainly in times of crisis (Mathematics, 2020). We have analyzed the cross-border effect of credit ratings on sovereign CDS, noting that international and local contagion is due to different types of effects (IREF, 2020).

Within corporate finance, credit risk also plays a key role. The corporate default events that occurred during the global crisis revealed the need to control credit risk. In the paper published in RIBF (2020) we explore whether the effectiveness of internal corporate mechanisms depends on factors such as the institutional environment or the type of mechanism. In this context, in the paper published in AF (2020) we analyzed the effect of family ownership on the risk of default of companies, also studying the effect of the participation of institutional investors. Finally, in the paper published in BRQ (2020) we analyzed the adjustment that different credit risk measures have depending on whether the firm is family owned or not.


Scientific Production
Magazine Articles 6
Communications at national conferences -
Communications at international conferences 7


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