Sovereign Risk Premia

By Nicola Borri, A. Verdelhan. 2011

149 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/8d35e9c34958e3bf6436856c051f5b707a8ddd2a

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Citations in the corpus

Debt Dilution and Sovereign Default Risk (2011, unknown): “…spreads and that a significant fraction of the spread volatility in the data is accounted for by volatility in the risk premium (see, for example, Borri and Verdelhan (2009), Broner et al. (2007), Longstaff et al. (2007), and González-Rozada and Levy Yeyati (2008)), we assume that bond prices…”
Time-varying integration in European government bond markets (2014, unknown): “Then, for each local Government bond market we estimate a system of 6 equations, (1) to (6).”
International Reserves and Rollover Risk (2013, unknown): “The latter can in turn be rationalized by modelling highly leveraged investors who are specialized in emerging economies (Borri and Verdelhan, 2009; Arellano and Bai, 2012).”
Fiscal Rules and the Sovereign Default Premium (2022, unknown): “In particular, we show that rules limiting the sovereign default premium are more robust than rules limiting debt levels.”
Quantitative Models of Sovereign Debt Crises (2016, unknown): “The first-difference specification is what has been studied in the literature (Longstaff, Pan, Pedersen, and Singleton (2011); Borri and Verdelhan (2011)).”
Conditional Risk Premia in Currency Markets and Other Asset Classes (2014, unknown): “We use the cross-sectional sorting of sovereign bonds according to default probability and market beta in Borri and Verdelhan (2011). Fig. 9 and Table 6 confirm yet again the ability of the DR-CAPM to price multiple asset classes. An important caveat in this case is that the data of Borri and Verdel”
Intermediary Asset Pricing: New Evidence from Many Asset Classes (2017, methodology): “For sovereign bonds we use six portfolios from Borri and Verdelhan (2012).”