Study Findings on Risk Management Discussed by a Researcher at King Saud University (Volatility Spillovers among Sovereign Credit Default Swaps of Emerging Economies and Their Determinants): Insurance – Risk Management

2024 MAY 02 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Investigators publish new report on risk management. According to news reporting out of Riyadh, Saudi Arabia, by NewsRx editors, research stated, “This paper aims to investigate the volatility spillovers among selected emerging economies’ sovereign credit default swaps (SCDSs), including those of Saudi Arabia, Russia, China, Indonesia, South Africa, Brazil, Mexico, and Turkey.”

The news correspondents obtained a quote from the research from King Saud University: “Using data from January 2010 to July 2023, we apply the time-domain and the frequency-domain connectedness approaches. Empirical results show that (i) Indonesia, followed by China and Mexico, are the main transmitters of sovereign credit risk volatility.”

According to the news reporters, the research concluded: “(ii) Among global factors, the volatility index (VIX), economic policy uncertainty (EPU), and global political risk (GPR) positively impacted spillover on lower and higher quantiles. The results offer critical insights for international investors, policymakers, and researchers, emphasizing the importance of risk-aware investment strategies and cautious policy formulation in the context of financial crises and political events.”

For more information on this research see: Volatility Spillovers among Sovereign Credit Default Swaps of Emerging Economies and Their Determinants. Risks, 2024,12(4). (Risks - http://www.mdpi.com/journal/risks). The publisher for Risks is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/risks12040071.

Our news editors report that more information may be obtained by contacting Shumok Aljarba, Department of Finance, College of Business Administration, King Saud University, P.O. Box 12371, Riyadh 11451, Saudi Arabia. Additional authors for this research include Nader Naifar, Khalid Almeshal.

ORCID is an identifier for authors and includes bibliographic information. The following is ORCID information for the author of this research: Nader Naifar (http://orcid.org/0000-0001-9554-8236).

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