This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Sovereign Rating Transitions And The Price Of Default Risk In Emerging Markets

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Alena Audzeyeva (University of Leeds, Business School)
Klaus Reiner Schenk-Hoppe (University of Leeds, School of Mathematics)

Additional information is available for the following registered author(s):

Abstract

This paper introduces an expected value estimator with “expert knowledge” to the robust estimation of sovereign rating transitions which are characterised by few observations. Our estimates of default premia within Mexican, Colombian and Brazilian Eurobond yield spreads provide a better fit than ‘cohort’ and continuous-time observation approaches. The analysis suggests that default risk accounted for a rather small share (decreasing with maturity) of the yield spreads for non-investment grade Colombian and Brazilian Eurobonds in 2003. This share increased while yield spreads fell during 2003-2005 mainly due to non-default risk factors. Default and liquidity premia for investment-grade Mexican spreads both decreased at similar rates.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://ssrn.com/abstract=999316
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 07-18.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 34 pages
Date of creation: May 2007
Date of revision:
Handle: RePEc:chf:rpseri:rp0718

Contact details of provider:
Web page: http://www.SwissFinanceInstitute.ch
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Marilyn Barja).

Related research
Keywords: Emerging markets; sovereign default; rating transitions; yield spreads; default premia;

Find related papers by JEL classification:
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
F34 - International Economics - - International Finance - - - International Lending and Debt Problems

This paper has been announced in the following NEP Reports:

Statistics
Access and download statistics

Did you know? About five million pdf files are downloaded through RePEc every year.

This page was last updated on 2009-11-30.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.