When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one … reason for why international investment in private companies has to take into account the sovereign risk. But the likelihood … of a transfer from the sovereign risk to corporate default risks may be mitigated by legal institutions that provide …

MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate … security risk loadings using real data on prepayment forecasts vs. realizations. Estimated loadings are monotonic in securities … investors. In particular, we find convincing evidence that prepayment risk prices change sign over time with the sign of a …

risk-reduction benefits and lower costs of debt. This is especially true for CoCos that: i) convert into equity, ii) have …

. As such, these products clearly reflect the market's assessment of rare-event risk. We find that the model can …

default swap (CDS) spreads of emerging markets during 2004-2012, which encompasses the global financial crisis of 2008 … importance of economic fundamentals in the pricing of sovereign risk varies over time. The key factors are trade openness and … in pricing sovereign risk prior to the crisis, but internal factors associated with the capacity to adjust to adverse …