Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

an approach to properly measure sovereign credit risk in a fixed-income portfolio. For that, we assume that CDS spreads … follow a SABR process and we derive a sovereign credit risk measure based on CDS spreads and duration of portfolio bonds. We …-budgeting approach is the most appropriate scheme to manage sovereign risk in bond portfolios and gives very appealing results with …

development factor in external sovereign emerging market debt and fnds evidence for superior risk-adjusted returns from tilting … holistic credit assessment, allowing investors to isolate the issuers which are the most efective sovereign transmission … factors into portfolio construction and reinforces the argument for supporting femaleled development from a fnancial markets …

Purposes - Indonesian government bond (known as SUN) plays an essential role in financing sustainable development in … macroeconomic factors or macro-risk on the yield curve of the SUN bond. Methodology - The type of data used in this study is … are some government bodies such as the Bank Indonesia website (www.bi.go.id) and the Indonesian site Bond Market Directory …

to understand the linkage between the cheapest to deliver bond and closest futures pairs by using high-frequency data on …

banks' portfolio of public debt and reduces the percentage holdings in the case of central banks. Better sovereign ratings …-2022, applying panel regressions and quantile analysis. We conclude that an increase in sovereign risk raises the share of domestic …