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Interpreting sovereign spreads

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Author Info
Eli M Remolona
Michela Scatigna
Eliza Wu

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Abstract

Sovereign 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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Publisher Info
Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2007)
Issue (Month): (March)
Pages:
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Handle: RePEc:bis:bisqtr:0703e

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Related research
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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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This page was last updated on 2008-4-29.

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