Essays on sovereign default risk in emerging countries.

Summary This four-part empirical thesis focuses on the determinants of sovereign default risk. The first chapter summarizes the state of the art of sovereign default risk and three main approaches to the determinants of sovereign default risk: the structural model, the dynamic stochastic model and econometric models. The second chapter studies the probability of default for Argentina (2002) using a structural model proposed by Gray and Malone 2008. The third chapter proposes a stochastic model to calculate the daily sovereign credit spread. The last two econometric chapters determine two proxies of sovereign default risk: Sovereign CDS spread and Emerging Market Bond Index Plus (EMBI+). The fourth chapter tries to determine the long and short term sovereign CDS spread using three estimates: Pooled Mean Group, Mean Group and Dynamic Fixed Effect. In the last chapter, we apply an asymmetric non-linear Autoregressive staggered lag model to study the effect of long-term current account asymmetry on EMBI+ including explanatory variables such as external debt and international reserves for two emerging countries: Turkey and Brazil.