Default risk and risk averse international investors

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Default risk and income fluctuations in emerging economies (2008, background): “The large sensitivity (parameterized by λ) of the lender’s kernel required is equivalent to a high degree of risk aversion in the lenders marginal rate of substitution such that the compensation for risk is large.(28) The relation between defaults and the investor’s stochastic discount factor could ”
Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe (2014, background): “Recent papers in the literature of endogenous sovereign risk include Hatchondo and Martinez (2009) and Lizarazo (2013).”
Self-Fulfilling Debt Crises: A Quantitative Analysis (2019, background): “20For example, this prediction would arise in a set up where lenders are exposed to government debt and they face occasionally binding constraints on their funding ability, see Bocola (2014) and Lizarazo (2013).”
Global financial conditions, country spreads and macroeconomic fluctuations in emerging countries (2013, unknown): “The empirical evidence in Longstaff et al. (2011) suggests that global factors explain a large fraction of the variation in the international interest rate.”