Browsing by Author "Scatigna, Michela"

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Browsing by Author "Scatigna, Michela"

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  • Remolona, Eli; Scatigna, Michela; Wu, Eliza (Institutional Investor, 2008)
    This article presents an analysis of the sovereign risk pricing in emerging markets. Analyzing pricing of sovereign risk is important for bond portfolio management, risk management and regulation of financial institutions. ...
  • Remolona, Eli; Scatigna, Michela; Wu, Eliza (Wiley, 2008)
    We propose a new approach to measuring sovereign default risk. We use sovereign credit ratings and historical default rates provided by credit rating agencies to construct a measure of ratings-implied expected loss. We ...