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

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In this paper we have suggested a new methodology to estimate the probability of default of a country as a function of other macroeconomics variables. Such methodology is based in the valuation of the prices in the secondary market of bonds issued by debtor countries. We have chosen the Brady bonds...

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Detalles Bibliográficos
Autores: Camargo, Gonzalo, Camargo, Mayko
Formato: artículo
Fecha de Publicación:2004
Institución:Pontificia Universidad Católica del Perú
Repositorio:PUCP-Institucional
Lenguaje:español
OAI Identifier:oai:repositorio.pucp.edu.pe:20.500.14657/117844
Enlace del recurso:http://revistas.pucp.edu.pe/index.php/economia/article/view/865/824
https://doi.org/10.18800/economia.200401.005
Nivel de acceso:acceso abierto
Materia:Economía
https://purl.org/pe-repo/ocde/ford#5.02.01
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spelling Camargo, GonzaloCamargo, Mayko2018-04-10T19:53:30Z2018-04-10T19:53:30Z2004http://revistas.pucp.edu.pe/index.php/economia/article/view/865/824https://doi.org/10.18800/economia.200401.005In this paper we have suggested a new methodology to estimate the probability of default of a country as a function of other macroeconomics variables. Such methodology is based in the valuation of the prices in the secondary market of bonds issued by debtor countries. We have chosen the Brady bonds because their institutional characteristics do not depend on the issuer country, which allows us to build a homogeneous panel. The methodology proposed takes elements of traditional models such as the functional structure of the probability and elernents of term structure models. The paper demonstrates a new way to extract sovereign nisk, implicit in trade bond prices.En el presente trabajo, se sugiere una metodología nueva para estimar la probabilidad de que un país incumpla sus compromisos de pago de deuda. Dicha probabilidad se expresa como función de distintas variables macroeconómicas. La metodología se basa en valorar los precios en el mercado secundario de instrumentos de deuda (bonos) emitidos por dichos países. Los bonos elegidos han sido los Bradies, debido aque sus características institucionales son similares para distintos emisores. La metodología propuesta toma elementos de los modelos tradicionales, como la estructura funcional de la probabilidad de impago y de los modelos de estructura de términos. En resumen, este trabajo presenta una nueva manera de extraer el riesgo soberano que se encuentra implícito en los precios de los bonos elegidos en el mercado secundario.application/pdfspaPontificia Universidad Católica del Perú. Fondo EditorialPEurn:issn:2304-4306urn:issn:0254-4415info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/4.0Economía; Vol. 27, Núm. 53-54 (2004)reponame:PUCP-Institucionalinstname:Pontificia Universidad Católica del Perúinstacron:PUCPEconomíahttps://purl.org/pe-repo/ocde/ford#5.02.01Country Risk: An Empirical Approach to Estirnate the Probability of Default in Emergent markets'info:eu-repo/semantics/articleArtículo20.500.14657/117844oai:repositorio.pucp.edu.pe:20.500.14657/1178442025-06-19 16:04:54.419http://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessmetadata.onlyhttps://repositorio.pucp.edu.peRepositorio Institucional de la PUCPrepositorio@pucp.pe
dc.title.es_ES.fl_str_mv Country Risk: An Empirical Approach to Estirnate the Probability of Default in Emergent markets'
title Country Risk: An Empirical Approach to Estirnate the Probability of Default in Emergent markets'
spellingShingle Country Risk: An Empirical Approach to Estirnate the Probability of Default in Emergent markets'
Camargo, Gonzalo
Economía
https://purl.org/pe-repo/ocde/ford#5.02.01
title_short Country Risk: An Empirical Approach to Estirnate the Probability of Default in Emergent markets'
title_full Country Risk: An Empirical Approach to Estirnate the Probability of Default in Emergent markets'
title_fullStr Country Risk: An Empirical Approach to Estirnate the Probability of Default in Emergent markets'
title_full_unstemmed Country Risk: An Empirical Approach to Estirnate the Probability of Default in Emergent markets'
title_sort Country Risk: An Empirical Approach to Estirnate the Probability of Default in Emergent markets'
author Camargo, Gonzalo
author_facet Camargo, Gonzalo
Camargo, Mayko
author_role author
author2 Camargo, Mayko
author2_role author
dc.contributor.author.fl_str_mv Camargo, Gonzalo
Camargo, Mayko
dc.subject.es_ES.fl_str_mv Economía
topic Economía
https://purl.org/pe-repo/ocde/ford#5.02.01
dc.subject.ocde.none.fl_str_mv https://purl.org/pe-repo/ocde/ford#5.02.01
description In this paper we have suggested a new methodology to estimate the probability of default of a country as a function of other macroeconomics variables. Such methodology is based in the valuation of the prices in the secondary market of bonds issued by debtor countries. We have chosen the Brady bonds because their institutional characteristics do not depend on the issuer country, which allows us to build a homogeneous panel. The methodology proposed takes elements of traditional models such as the functional structure of the probability and elernents of term structure models. The paper demonstrates a new way to extract sovereign nisk, implicit in trade bond prices.
publishDate 2004
dc.date.accessioned.none.fl_str_mv 2018-04-10T19:53:30Z
dc.date.available.none.fl_str_mv 2018-04-10T19:53:30Z
dc.date.issued.fl_str_mv 2004
dc.type.none.fl_str_mv info:eu-repo/semantics/article
dc.type.other.none.fl_str_mv Artículo
format article
dc.identifier.uri.none.fl_str_mv http://revistas.pucp.edu.pe/index.php/economia/article/view/865/824
dc.identifier.doi.none.fl_str_mv https://doi.org/10.18800/economia.200401.005
url http://revistas.pucp.edu.pe/index.php/economia/article/view/865/824
https://doi.org/10.18800/economia.200401.005
dc.language.iso.none.fl_str_mv spa
language spa
dc.relation.ispartof.none.fl_str_mv urn:issn:2304-4306
urn:issn:0254-4415
dc.rights.es_ES.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.uri.*.fl_str_mv http://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/4.0
dc.format.none.fl_str_mv application/pdf
dc.publisher.es_ES.fl_str_mv Pontificia Universidad Católica del Perú. Fondo Editorial
dc.publisher.country.none.fl_str_mv PE
dc.source.es_ES.fl_str_mv Economía; Vol. 27, Núm. 53-54 (2004)
dc.source.none.fl_str_mv reponame:PUCP-Institucional
instname:Pontificia Universidad Católica del Perú
instacron:PUCP
instname_str Pontificia Universidad Católica del Perú
instacron_str PUCP
institution PUCP
reponame_str PUCP-Institucional
collection PUCP-Institucional
repository.name.fl_str_mv Repositorio Institucional de la PUCP
repository.mail.fl_str_mv repositorio@pucp.pe
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Country Risk: An Empirical Approach to Estirnate the Probability of Default in Emergent markets'
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