Alexandre Jeanneret

My current research interests focus on the understanding of sovereign credit risk and more specifically on the adverse consequences of such a risk for international equity markets. For example, one research improves our knowledge on how the rise in the risk of a European debt crisis can increase stock market volatility in the U.S. through a severe depreciation of the euro/dollar exchange rate. Another research develops a pricing formula that helps explain the daily time variation in sovereign credit risk. A complementary research provides evidence that information on the quality of a sovereign government, measured by several dimensions of governance, is important in the evaluation of a sovereign creditworthiness. Finally, I am also interested in analyzing how exchange rate volatility affects agent decisions, in particular the decision of multinationals to invest internationally.