Bernoth, Kerstin; Hagen, Jürgen von; Schuknecht, Ludger - 2004
-P(x
t
), 0≤ P(x
t
)≤1,
the domestic government will be unable to fully serve its debt. Here, x
t
indicates a set of … risky issuer country, (1 - P(x
t
)). The default
risk premium decreases with an increase in the fraction of repayment the …
and positively on the variance of the default probability P(x
t
)(1 - P(x
t
)), the gross
nominal return (1 + r
t
), and …