The market price of sovereign risk is higher than its counterpart and time-varying, increasing in times of high asset volatility. A two-factor model accounts for the cross-section of average bond excess returns in emerging markets.

The Market Price of Sovereign Risk / Borri, Nicola; Adrien, Verdelhan. - (2015).

The Market Price of Sovereign Risk

BORRI, NICOLA;
2015

Abstract

The market price of sovereign risk is higher than its counterpart and time-varying, increasing in times of high asset volatility. A two-factor model accounts for the cross-section of average bond excess returns in emerging markets.
Sovereign Risk, Default Risk, Emerging Markets
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11385/144398
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