## Abstract We propose a new approach to measuring sovereign default risk. We use sovereign credit ratings and historical default rates provided by credit rating agencies to construct a measure of ratingsβimplied expected loss. We compare our measure of expected loss from sovereign defaults with st
A risk-based approach
β Scribed by Robert J. Huggett
- Publisher
- John Wiley and Sons
- Year
- 1996
- Tongue
- English
- Weight
- 24 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0730-7268
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