Purpose – The purpose of this paper is to introduce a methodology to evaluate sovereign risk. Hereby, a value-based approach using different market measures is introduced. Design/methodology/approach –This study’s approach aims to provide a value-based assessment of sovereign risk,...

Purpose – The purpose of this paper is to introduce a methodology to evaluate sovereign risk. Hereby, a value-based approach using different market measures is introduced. Design/methodology/approach – This study’s approach aims to provide a value-based assessment of sovereign risk,...

Purpose – The sovereign debt crisis in Europe increased the demand for asset manager worldwide to monitor and manage their sovereign risk. While using information from the credit derivatives and bond markets has been used widely in the corporate sector its usage for sovereign risk is novel....