Interpreting sovereign spreads
AbstractSovereign spreads can be broken up into two components=the expected loss from default and the risk premium, with the latter reflecting how investors price the risk of unexpected losses. We show that the risk premium is often the larger part of the spread.
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Bibliographic InfoArticle provided by Bank for International Settlements in its journal BIS Quarterly Review.
Volume (Year): (2007)
Issue (Month): (March)
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
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