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How Important Is Sovereign Risk in Determining Corporate Default Premia? the Case of South Africa

How Important Is Sovereign Risk in Determining Corporate Default Premia? the Case of South Africa( )
Author: Peter, Marcel
Grandes, Martn
Series title:IMF Working Papers
ISBN:978-1-4527-1484-4
Publication Date:Nov 2005
Publisher:International Monetary Fund
Book Format:Ebook
List Price:USD $7.50
Book Description:

The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield spreads). It also investigates the extent to which the practice by rating agencies and banks of not rating companies higher than their sovereign ("country or sovereign ceiling") is reflected in the yields of South African local-currency-denominated corporate bonds. The main findings are: (i) sovereign risk appears to be the single most important determinant of corporate...
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Book Details
Pages:117
Physical Dimensions (W X L X H):8.5 x 11 x 0.3 Inches



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