Analysis of emerging markets sovereign credit spreads

Arbeitspapier

Our objective is to implement a credit risk pricing model for sovereign bonds and estimate the model for a historical series of yields of emerging markets bonds. We use a reduced model with a Vasicek 2-factor model on Brazilian sovereign data. The estimation occurs in two stages. Using Maximum Likelihood, we first estimate the parameters corresponding to the reference curve. Then, we find the estimates of the set of parameters corresponding to the defaultable curve conditional on the default- free parameters. The estimated model is used to calculate the dynamics of the term structure of interest rates, of credit spreads and of default probabilities.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Paper ; No. 148

Classification and Topics

• Classification: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Matsumura, Marco Shinobu
• Event: Veröffentlichung
• (who): Institute for Applied Economic Research (ipea)
• (where): Brasília
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/220237
• Last update: 10.03.2025, 11:41 AM CET