How Important Is Sovereign Risk in Determining Corporate Default Premia? : The Case of South Africa /

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"...

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Détails bibliographiques
Auteur principal: Peter, Marcel
Autres auteurs: Grandes, Martin
Format: Revue
Langue:English
Publié: Washington, D.C. : International Monetary Fund, 2005.
Collection:IMF Working Papers; Working Paper ; No. 2005/217
Accès en ligne:Full text available on IMF