Arbeitspapier
Sovereign bond spreads and credit sensitivity
Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because they have no contractual claims to defined assets and samples of defaults are limited. A geometric version of credit spread is used to derive expected payments, dependent on idiosyncratic risk and unrelated to interest rates. The expectations are used to define a measure of price sensitivity to credit risk perceptions, or credit duration, improving the ambiguity of modified yield duration.
- Sprache
-
Englisch
- Erschienen in
-
Series: Serie Documentos de Trabajo ; No. 758
- Klassifikation
-
Wirtschaft
Expectations; Speculations
International Lending and Debt Problems
Asset Pricing; Trading Volume; Bond Interest Rates
National Debt; Debt Management; Sovereign Debt
- Thema
-
bond
sovereign
spread
expected
risk neutral
default
duration
yield
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schefer, Ricardo
- Ereignis
-
Veröffentlichung
- (wer)
-
Universidad del Centro de Estudios Macroeconómicos de Argentina (UCEMA)
- (wo)
-
Buenos Aires
- (wann)
-
2020
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Schefer, Ricardo
- Universidad del Centro de Estudios Macroeconómicos de Argentina (UCEMA)
Entstanden
- 2020
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