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- W3171063476 abstract "Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because they have no contractual claims to defined assets and samples of defaults are limited. A geometric version of credit spread is used to derive expected payments, dependent on idiosyncratic risk and unrelated to interest rates. The expectations are used to define a measure of price sensitivity to credit risk perceptions, or credit duration, improving the ambiguity of modified yield duration." @default.
- W3171063476 created "2021-06-22" @default.
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- W3171063476 date "2020-01-01" @default.
- W3171063476 modified "2023-09-26" @default.
- W3171063476 title "Sovereign Bond Spreads and Credit Sensitivity" @default.
- W3171063476 doi "https://doi.org/10.2139/ssrn.3838104" @default.
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