A ratings-based approach to measuring sovereign risk

Remolona, E; Scatigna, M; Wu, E

A ratings-based approach to measuring sovereign risk

Remolona, E Scatigna, M Wu, E

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Publisher:: Wiley
Publication Type:: Journal Article
Citation:: International Journal of Finance and Economics, 2008, 13 (1), pp. 26 - 39
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	International Journal of Finance and Economics, 2008, 13 (1), pp. 26 - 39	en_US
dc.identifier.issn	1076-9307	en_US
dc.identifier.uri	http://hdl.handle.net/10453/15874
dc.description.abstract	We propose a new approach to measuring sovereign default risk. We use sovereign credit ratings and historical default rates provided by credit rating agencies to construct a measure of ratings-implied expected loss. We compare our measure of expected loss from sovereign defaults with stand-alone credit ratings and also examine its relationship with credit default swap spreads. We show that our measure is more informative for measuring sovereign risk. We re-examine the fundamental determinants of sovereign risk and find further evidence to support the debt intolerance and original sin explanations for country risk. This study contributes an improved understanding of the value of sovereign credit rating teams in assessing the long-term country risks accompanying emerging market investments	en_US
dc.publisher	Wiley	en_US
dc.relation.ispartof	International Journal of Finance and Economics	en_US
dc.relation.isbasedon	10.1002/ijfe.357	en_US
dc.subject.classification	Economics	en_US
dc.title	A ratings-based approach to measuring sovereign risk	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	13	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
dc.location.activity	Sydney, NSW, Australia
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	1	en_US
pubs.volume	13	en_US

Abstract:

We propose a new approach to measuring sovereign default risk. We use sovereign credit ratings and historical default rates provided by credit rating agencies to construct a measure of ratings-implied expected loss. We compare our measure of expected loss from sovereign defaults with stand-alone credit ratings and also examine its relationship with credit default swap spreads. We show that our measure is more informative for measuring sovereign risk. We re-examine the fundamental determinants of sovereign risk and find further evidence to support the debt intolerance and original sin explanations for country risk. This study contributes an improved understanding of the value of sovereign credit rating teams in assessing the long-term country risks accompanying emerging market investments

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http://hdl.handle.net/10453/15874