Downloadable Papers (sorted by date) 
NEW: The Top 20 books referenced/cited in these (below listed) papers. I've put a gray background on the top five most browsed papers in this category. (November-1)
Sovereign Risk Premia
by Nicola Borri of Boston University, and
Adrien Verdelhan of Boston University
(392K PDF) -- 49 pages -- December 1, 2008 Maturity, Indebtedness and Default Risk
by Satyajit Chatterjee of the Federal Reserve Bank of Philadelphia, and
Burcu Eyigungor of Koç University
(284K PDF) -- 34 pages -- December 2008 Is it (Still) Mostly Fiscal? Determinants of sovereign spreads in emerging markets
by Emanuele Baldacci of the International Monetary Fund,
Sanjeev Gupta of the International Monetary Fund, and
Amine Mati of the International Monetary Fund
(651K PDF) -- 24 pages -- November 2008 New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability
by Dale F. Gray of the International Monetary Fund,
Robert C. Merton of Harvard Business School, and
Zvi Bodie of Boston University
(230K PDF) -- 33 pages -- August 11, 2008 Determinants of Sovereign Risk: Macroeconomic fundamentals and the pricing of sovereign debt
by Jens Hilscher of Brandeis University, and
Yves Nosbusch of the London School of Economics
(413K PDF) -- 66 pages -- July 2008 How Sovereign is Sovereign Credit Risk?
by Francis A. Longstaff of the University of California, Los Angeles,
Jun Pan of Massachusetts Institute of Technology,
Lasse H. Pedersen of New York University & CEPR, and
Kenneth J. Singleton of Stanford University
(331K PDF) -- 49 pages -- April 2008 A Stochastic Framework for Public Debt Sustainability Analysis
by Gabriel Di Bella of the International Monetary Fund
(525K PDF) -- 28 pages -- March 2008 Measuring Sovereign Risk in Turkey: An application of the contingent claims approach
by Christian Keller of the International Monetary Fund,
Peter Kunzel of the International Monetary Fund, and
Marcos Souto of the International Monetary Fund
(476K PDF) -- 29 pages -- October 2007 Heterogeneous Borrowers in Quantitative Models of Sovereign Default
by Juan Carlos Hatchondo of the Federal Reserve Bank of Richmond,
Leonardo Martinez of the Federal Reserve Bank of Richmond, and
Horacio Sapriza of Rutgers University
(413K PDF) -- 35 pages -- July 10, 2007 Default Risk and Income Fluctuations in Emerging Economies
by Cristina Arellano of the University of Minnesota & the Federal Reserve Bank of Minneapolis
(347K PDF) -- 33 pages -- July 2007 Credit Derivatives and Sovereign Debt Crises
by Benedikt Goderis of the University of Oxford, and
Wolf Wagner of Cambridge University & Tilburg University
(209K PDF) -- 32 pages -- March 23, 2007 Sovereign Debt Spreads in a Markov Switching Regime
by Burcu Eyigungor of the University of California, Los Angeles
(197K PDF) -- 19 pages -- November 13, 2006 Sovereign Debt Crises and Credit to the Private Sector
by Carlos Arteta of the Federal Reserve Board, and
Galina Hale of the Federal Reserve Bank of San Francisco
(323K PDF) -- 42 pages -- December 15, 2006 Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads
by Jun Pan of the Massachusetts Institute of Technology, and
Kenneth J. Singleton of Stanford University
(565K PDF) -- 37 pages -- November 28, 2006 Default and the Term Structure in Sovereign Bonds
by Cristina Arellano of the University of Minnesota & Federal Reserve Bank of Minneapolis, and
Ananth Ramanarayanan of the University of Minnesota & Federal Reserve Bank of Minneapolis
(278K PDF) -- 24 pages -- November 2006 Political Risk and Firm Default Probability: Exploring export credits to high-risk countries
by Annika Sandström of the Swedish School of Economics and Business Administration
(203K PDF) -- 50 pages -- November 2006 Predicting Sovereign Debt Crises Using Artificial Neural Networks: A comparative approach
by Marco Fioramanti of the Istituto di Studi e Analisi Economica – (ISAE)
(323K PDF) -- 32 pages -- October 2006 Country Default Probabilities: Assessing and Backtesting
by Stefan Huschens of the Technische Universität Dresden,
Alexander Karmann of the Technische Universität Dresden,
Dominik Maltritz of the Technische Universität Dresden, and
Konstantin Vogl of the Technische Universität Dresden
(263K PDF) -- 20 pages -- September 1, 2006 Public Default Dynamics
by Betty C. Daniel of the University at Albany – SUNY
(348K PDF) -- 48 pages -- August 2006 Estimating the Effects of Information Quality of Macro Aggregates on Sovereign Risk (Job Market Paper)
by Seung Jung Lee of the University of Chicago
(224K PDF) -- 55 pages -- May 10, 2006 Primary Surplus Behavior and Risks to Fiscal Sustainability in Emerging Market Countries: A "Fan-Chart" Approach
by Oya Celasun of the International Monetary Fund,
Xavier Debrun of the International Monetary Fund, and
Jonathan D. Ostry of the International Monetary Fund
(771K PDF) -- 54 pages -- March 2006 Sovereign Default, Interest Rates and Political Uncertainty in Emerging Markets
by Gabriel Cuadra of the Banco de México, and
Horacio Sapriza of Rutgers University
(503K PDF) -- 34 pages -- February 2006 How Important Is Sovereign Risk in Determining Corporate Default Premia
by Marcel Peter of Swiss National Bank, and
Martin Grandes of the American University of Paris
(928K PDF) -- 64 pages -- November 2005 Determinants of Spreads on Sovereign Bank Loans: The role of credit history
by Peter Benczur of Magyar Nemzeti Bank & Central European University, and
Cosmin Ilut of Northwestern University
(858K PDF) -- 29 pages -- November 2005 Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets
by Didier Cossin of IMD International & FAME, and
Gero Jung of Fame & the Graduate Institute of International Studies
(2,778K PDF) -- 35 pages -- March 2005 "Rules of Thumb" for Sovereign Debt Crises
by Paolo Manasse of the Università di Bologna & the International Monetary Fund, and
Nouriel Roubini of the New York University
(490K PDF) -- 33 pages -- March 2005 The Contingent Claims Approach to Corporate Vulnerability Analysis: Estimating Default Risk and Economy-wide Risk Transfer
by Michael T. Gapen of the International Monetary Fund,
Dale F. Gray of Macro Financial Risk Corporation & Consultant to the Macro Financial Risk Project at Moody's Investors Service,
Cheng Hoon Lim of the International Monetary Fund, and
Yingbin Xiao of the International Monetary Fund
(925K PDF) -- 44 pages -- July 2004 Predicting Default Probabilities and Implementing Trading Strategies for Emerging Markets Bond Portfolios
by Andrea Berardi of the University of Verona,
Stefania Ciraolo of the University of Leuven, and
Michele Trova of Monte Paschi A.M.
(640K PDF) -- 28 pages -- June 29, 2004 Defaultable Debt, Interest Rates and the Current Account
by Mark Aguiar of the University of Chicago, and
Gita Gopinath of the University of Chicago and NBER
(410K PDF) -- 40 pages -- May 28, 2004 A Risk Management Approach to Emerging Markets Sovereign Debt Sustainability with an Application to Brazilian Data
by Márcio Gomes Pinto Garcia of PUC-Rio, and
Roberto Rigobon of the Massachusetts Institute of Technology
(433K PDF) -- 26 pages -- March 17, 2004 Country Risk Ratings: Statistical and Combinatorial Non-recursive Models
by Peter L. Hammer of Rutgers University,
Alexander Kogan of Rutgers University, and
Miguel A. Lejeune of Rutgers University
(415K PDF) -- 48 pages -- March 2004 Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets
by Jorge A. Chan-Lau of the International Monetary Fund, and
Yoon Sook Kim of the International Monetary Fund
(1,652K PDF) -- 31 pages -- February 2004 Anticipating Credit Events Using Credit Default Swaps, with an Application to Sovereign Debt Crises
by Jorge A. Chan-Lau of the International Monetary Fund
(609K PDF) -- 20 pages -- May 2003 What Did the Credit Market Expect of Argentina Default? Evidence from Default Swap Data
by Frank X. Zhang of the Federal Reserve Board
(461K PDF) -- 43 pages -- April 16, 2003 A Non-Recursive Regression Model For Country Risk R
by Sorin Alexe of Rutgers University,
Peter L. Hammer of Rutgers University,
Alexandr Kogan of Rutgers University, and
Miguel A. Lejeune of FORTIS Bank
(169K PDF) -- 40 pages -- March 2003 Implied Default Probabilities and Default Recovery Ratios: An Analysis of Argentine Eurobonds 2001 - 2002
by Jochen R. Andritzky of the University of St. Gallen
(391K PDF) -- 28 pages -- November 14, 2003 Debt Intolerance
by Carmen M. Reinhart of the International Monetary Fund,
Kenneth S. Rogoff of the International Monetary Fund, and
Miguel A. Savastano of the International Monetary Fund
(517K PDF) -- 77 pages -- August 2003 A Dynamic Model for Emerging Debt Markets: The Case of Hong Kong Corporate Credit Risk
by Michael C.S. Wong of the City University of Hong Kong, and
Keith K.F. Law of the City University of Hong Kong
(181K PDF) -- 44 pages -- November 6, 2002 Sovereign Risk in a Structural Approach - Evaluating Sovereign Ability-to-Pay and Probability of Default
by Alexander Karmann of the Dresden University of Technology, and
Dominik Maltritz of the Dresden University of Technology
(628K PDF) -- 39 pages -- October 10, 2002 Valuation Model of Defaultable Bond Values in Emerging Markets
by Cho-Hoi Hui of the Hong Kong Monetary Authority, and
Chi-Fai Lo of the Chinese University of Hong Kong
(158K PDF) -- 16 pages -- June 2002 The Determinants of Sovereign Bond Credit Spreads Changes
by Michael Westphalen of HEC, Université de Lausanne, & Fame
(153K PDF) -- 27 pages -- November 30, 2001 Emerging Market Risk and Sovereign Credit Ratings
by Guillermo Larraín of the OECD Development Centre
Helmut Reisen of the OECD Development Centre, and
Julia von Maltzan of the OECD Development Centre
(136K PDF) -- 28 pages -- April 1997 Determinants and Impact of Sovereign Credit Ratings
by Richard Cantor of the Federal Reserve of New York, and
Frank Packer of the Federal Reserve of New York
(105K PDF) -- 18 pages -- October 1996 Sovereign Credit Ratings
by Richard Cantor of the Federal Reserve of New York, and
Frank Packer of the Federal Reserve of New York
(150K PDF) -- 6 pages -- June 1995 The Pricing of Sovereign Risk: An Application of Option Theory
by Peter Bossaerts of the University of California, Los Angeles
(1,190K PDF) -- 33 pages -- August 1985 | 
