Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238383 
Year of Publication: 
2020
Series/Report no.: 
Serie Documentos de Trabajo No. 758
Publisher: 
Universidad del Centro de Estudios Macroeconómicos de Argentina (UCEMA), Buenos Aires
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.
Subjects: 
bond
sovereign
spread
expected
risk neutral
default
duration
yield
JEL: 
D84
F34
G12
H63
Document Type: 
Working Paper

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