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

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dc.contributor.author Remolona, E
dc.contributor.author Scatigna, M
dc.contributor.author Wu, E
dc.date.accessioned 2012-02-02T11:03:09Z
dc.date.issued 2008-01
dc.identifier.citation Journal of Fixed Income, 2008, Spring (4), pp. 57 - 71
dc.identifier.issn 1059-8596
dc.identifier.other C1UNSUBMIT 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.
dc.publisher Institutional Investor
dc.title The dynamic pricing of sovereign risk in emerging markets: Fundamentals andrRisk aversion
dc.type Journal Article
dc.parent Journal of Fixed Income
dc.journal.volume 4
dc.journal.volume Spring
dc.journal.number 4 en_US
dc.publocation USA en_US
dc.publocation New York, NY, USA
dc.identifier.startpage 57 en_US
dc.identifier.endpage 71 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.conference ACM SIGKDD International Conference on Knowledge Discovery and Data
dc.for 1502 Banking, Finance and Investment
dc.personcode 111647
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.date.activity 2010-07-25
dc.location.activity en_US
dc.location.activity Washington DC, DC, USA
dc.description.keywords NA
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc false
utslib.collection.history Closed (ID: 3)


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