Country Risk: An Empirical Approach to Estirnate the Probability of Default in Emergent markets'

  • Gonzalo Camargo Pontificia Universidad Católica del Perú
  • Mayko Camargo Pontificia Universidad Católica del Perú

Abstract

In this paper we have suggested a new methodology to estimate the probability of defaultof a country as a function of other macroeconomics variables. Such methodologyis based in the valuation of the prices in the secondary market of bonds issued by debtorcountries. We have chosen the Brady bonds because their institutional characteristicsdo not depend on the issuer country, which allows us to build a homogeneouspanel. The methodology proposed takes elements of traditional models such as thefunctional structure of the probability and elernents of term structure models. The paperdemonstrates a new way to extract sovereign nsk, implicit in trade bond prices.

Downloads

Download data is not yet available.
How to Cite
Camargo, G., & Camargo, M. (2004). Country Risk: An Empirical Approach to Estirnate the Probability of Default in Emergent markets’. Economia, 27(53-54), 173-212. https://doi.org/10.18800/economia.200401.005