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- Title
Default probabilities and expected recovery: an analysis of emerging market sovereign bonds.
- Authors
Dixon-Smith, Liz; Goossens, Roman; Hayes, Simon
- Abstract
In this article, the author presents an analysis of emerging market sovereign bonds in Great Britain. As a first step a model is set out which is used to decompose bond prices into its constituent parts in particular default probabilities and expected recovery rates. The model is then applied to a group of emerging market economies (EME) sovereign bonds. This enables a judgment to be made among other things, on whether the model is useful to gain some insight into recent emerging market crises. Yield spreads on EME sovereign bonds reflect, in part, market perceptions of the risk of default and expected recovery in the event of default.
- Subjects
UNITED Kingdom; BOND market; PRICES; TRANSITION economies; INTERNATIONAL markets; FOREIGN investments; SECURITIES; STATISTICAL correlation
- Publication
Bank of England Quarterly Bulletin, 2005, Vol 45, Issue 2, p185
- ISSN
0005-5166
- Publication type
Article