sovereign to corporate credit risk in Europe. A ten percent increase in sovereign credit risk raises corporate credit risk on … sovereign to corporate risk transfer …

We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the … fixed and time varying LGD, and we use these values to analyze the sovereign credit risk of Polish debt throughout the … crisis. The highest PD is in the months following the collapse of Lehman Brothers. The derived measures of sovereign risk are …

We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the … fixed and time varying LGD, and we use these values to analyze the sovereign credit risk of Polish debt throughout the … crisis. The highest PD is in the months following the collapse of Lehman Brothers. The derived measures of sovereign risk are …

positively associated with the country risk rating …

We propose a consumption-based model that allows for an inverted term structure of real and nominal risk-free rates. In … our framework the agent is subject to time-varying macroeconomic risk and interest rates at all maturities depend on her … risk perception which shape saving propensities over time. In bad times, when risk is perceived to be higher in the short …

condition of international risk sharing, namely for systematic patterns between idiosyncratic output fluctuations and financial …

for expected and unexpected inflation shocks embedded in sovereign bond yields; and provides estimates of the real risk … recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected inflation … namely saving on the embedded inflation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium …

The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign … markets. Finally, empirical models with economic fundamentals generally do a poor job in explaining sovereign risk in the pre …-crisis period for European economies, suggesting that the market pricing of sovereign risk may not have been fully reflecting …