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.
2015
Sovereign Risk, Default Risk, Emerging Markets
The Market Price of Sovereign Risk / Borri, Nicola; Adrien, Verdelhan. - (2015).
File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11385/144398
Citazioni
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact