's rating appears largely determined by its per capita income, external debt burden, inflation experience, default history and … of macroeconomic indicators in the pricing of sovereign risk. Cross-sectional results suggest that the rating agencies … reactions of bond yields to the announcements of changes in the agencies' sovereign risk opinions are statistically significant …

, conditional on a level of foreign indebtedness, more capital improves the sovereign’s ability to meet its obligations, reducing … the likelihood of default and the risk premium. This effect, however, is diminishing in the stock of capital because …

. Presented as the keynote address at "Central Bank Liquidity Tools and Perspectives on Regulatory Reform" a conference sponsored …

Program (HARP). We use a competing risk model to estimate the sensitivity of default risk to downward adjustments of borrowers … an average loss given default of 35.2 percent, this lower default risk implies reduced credit losses of 134 basis points …

Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit event risk … typically preclude the most plausible economic justification for such risk to be priced--namely, a “contagious” response of the … economy comprised of a large number of firms, credit event risk premia have an upper bound of just a few basis points and are …