that, while the default premium does not contribute to carry trade strategies, the contribution of interest rate risk …, captured by the term premium, is large and increases with maturity. We introduce default risk in an otherwise standard affine …

The main objective of this paper is to develop a practical approach to Argentina's sovereign risk management. Through … Contingent Claim Analysis (CCA), Gape, Gray, Lim and Xiao (2008)[1] developed a sovereign risk framework whereby we can construct … a marked to market sovereign balance sheet and obtain a set of credit risk indicators that can help policy-makers: set …

The purpose of this publication is to quantify and compare the market risk on the external government debt of … particular, the authors invest the market risk of sovereign bonds issued on global financial markets. Market risk is assessed … both as a single issue and at a portfolio level using the Value-at-risk approach. Sixteen samples with historical …

This paper argues that the Eurozone crisis stems from a risk management failure in the Eurosystem's design, and that … applying insurance theory is useful. We model risk neutral agents choosing portfolios of government bonds of n countries in a …