We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by … credit risk during the period of the recent financial crisis. …

explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly … in the crisis, the surge in global risk aversion was a significant factor influencing sovereign spreads, while recently … Spain, as the emphasis has shifted towards short-term refinancing risk and long-term fiscal sustainability. The paper …

The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield …-currency-denominated corporate bonds. The main findings are: (i) sovereign risk appears to be the single most important determinant of corporate …

vulnerabilities and estimating the associated value of risk transfer across interrelated balance sheets of the corporate, financial …

This paper examines how Japan’s long-term interest rates and Japanese banks’ interest rate risk exposures may evolve … increased purchases by the Bank of Japan. At the same time, illustrative scenarios suggest the interest rate risk exposure of …, both long-tem yields and interest-risk exposures of Japanese banks could increase over the medium term. …