The dynamic pricing of sovereign risk in emerging markets: Fundamentals andrRisk aversion

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dc.contributor.author Remolona, Eli en_US
dc.contributor.author Scatigna, Michela en_US
dc.contributor.author Wu, Eliza en_US
dc.contributor.editor en_US
dc.date.accessioned 2012-02-02T11:03:09Z
dc.date.available 2012-02-02T11:03:09Z
dc.date.issued 2008 en_US
dc.identifier 2010001068 en_US
dc.identifier.citation Remolona Eli, Scatigna Michela, and Wu Eliza 2008, 'The dynamic pricing of sovereign risk in emerging markets: Fundamentals andrRisk aversion', Institutional Investor, vol. Spring, no. 4, pp. 57-71. en_US
dc.identifier.issn 1059-8596 en_US
dc.identifier.other C1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/15804
dc.description.abstract 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. The difficulty in analyzing sovereign spreads is how to distinguish between risk and the pricing of risk as financial compensation demanded by investors for bearing sovereign default risk. Sovereign debt spreads were decomposed into two market-based components, namely the expected loss from default and the default risk premium. It found that risk premia and sovereign risk behave differently. en_US
dc.language en_US
dc.publisher Institutional Investor en_US
dc.title The dynamic pricing of sovereign risk in emerging markets: Fundamentals andrRisk aversion en_US
dc.parent Journal of Fixed Income en_US
dc.journal.volume Spring en_US
dc.journal.number 4 en_US
dc.publocation USA en_US
dc.identifier.startpage 57 en_US
dc.identifier.endpage 71 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 150200 en_US
dc.personcode 0000066033 en_US
dc.personcode 0000066034 en_US
dc.personcode 111647 en_US
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords NA en_US
dc.staffid en_US
dc.staffid 111647 en_US


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