Rating transition matrices for sovereigns are an important input to risk management of portfolios of emerging market credit exposures. They are widely used both in credit portfolio management and to calculate future loss distributions for pricing purposes. However, few sovereigns and almost no...

Sample volatilities calculated from short-interval (daily) data do not necessarily imply much about volatility of financial assets over long (yearly) horizons. In this note we construct a model-free volatility estimator to investigate the long horizon volatility of various short-term interest...

This paper compares the informational content of judgmentally determined sovereign ratings produced by a private sector bank and by the rating agency Standard and Poor's, with ratings derived from econometric analysis of sovereign default. We show that downgrades in both the bank and the agency...

Knowing the relative riskiness of different types of credit exposure is important for policy-makers designing regulatory capital requirements and for firms allocating economic capital. This paper analyses the risk structure of credit exposures with different maturities and credit qualities. It...