The dynamic pricing of sovereign risk in emerging markets: Fundamentals andrRisk aversion

Remolona, E; Scatigna, M; Wu, E

The dynamic pricing of sovereign risk in emerging markets: Fundamentals andrRisk aversion

Remolona, E Scatigna, M Wu, E

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Publisher:: Institutional Investor
Publication Type:: Journal Article
Citation:: Journal of Fixed Income, 2008, Spring (4), pp. 57 - 71
Issue Date:: 2008-01

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Field	Value	Language
dc.contributor.author	Remolona, E	en_US
dc.contributor.author	Scatigna, M	en_US
dc.contributor.author	Wu, E	en_US
dc.date.issued	2008-01	en_US
dc.identifier.citation	Journal of Fixed Income, 2008, Spring (4), pp. 57 - 71	en_US
dc.identifier.issn	1059-8596	en_US
dc.identifier.uri	http://hdl.handle.net/10453/15804
dc.description.abstract	This article presents an analysis of the sovereign risk pricing in emerging markets. Analyzing pricing of sovereign risk is important for bond portfolio management, risk management and regulation of financial institutions. The difficulty in analyzing sovereign spreads is how to distinguish between risk and the pricing of risk as financial compensation demanded by investors for bearing sovereign default risk. Sovereign debt spreads were decomposed into two market-based components, namely the expected loss from default and the default risk premium. It found that risk premia and sovereign risk behave differently.	en_US
dc.publisher	Institutional Investor	en_US
dc.relation.ispartof	Journal of Fixed Income	en_US
dc.title	The dynamic pricing of sovereign risk in emerging markets: Fundamentals andrRisk aversion	en_US
dc.type	Journal Article
utslib.citation.volume	4	en_US
utslib.citation.volume	Spring	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
dc.location.activity	Washington DC, DC, USA
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	4	en_US
pubs.volume	Spring	en_US

Abstract:

This article presents an analysis of the sovereign risk pricing in emerging markets. Analyzing pricing of sovereign risk is important for bond portfolio management, risk management and regulation of financial institutions. The difficulty in analyzing sovereign spreads is how to distinguish between risk and the pricing of risk as financial compensation demanded by investors for bearing sovereign default risk. Sovereign debt spreads were decomposed into two market-based components, namely the expected loss from default and the default risk premium. It found that risk premia and sovereign risk behave differently.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/15804