Concepedia

Sovereign Spread Analysis

Sovereign Spread Analysis is a quantitative method within sovereign risk analysis that measures the credit risk premium of a country’s sovereign debt relative to a risk-free benchmark, typically through the differential in yield between a sovereign bond and a comparable maturity bond issued by a low-risk sovereign entity.

235

Publications

13.8K

Citations

365

Authors

253

Institutions

Publications per year

2017–2026

43

Parents

Publications

235

Default and Recovery Implicit in the Term Structure of Sovereign <i>CDS</i> Spreads

Jun Pan, Kenneth J. Singleton · The Journal of Finance · 2008 · 849 citations

, , +17

What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk

Joshua Aizenman, Michael M. Hutchison, Yothin Jinjarak · Journal of International Money and Finance · 2012 · 422 citations · Full text

, , +17

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Darrell Duffie, Lasse Heje Pedersen, Kenneth J. Singleton · The Journal of Finance · 2003 · 409 citations · Full text

, , +16

Sovereign credit ratings and financial markets linkages: Application to European data

Davide Furceri · Nova Science Publishers (Nova Science Publishers, Inc.) · 2012 · 372 citations

, , +17

Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads

Kenneth J. Singleton, Jun Pan · SSRN Electronic Journal · 2005 · 261 citations · Full text

, , +17

1–5 of 235

Authors

365

  1. IP
    Ivelina Pavlova

    University of Houston - Clear Lake, United States

    5 publications · 219 citations

    5

    h-index

  2. KJ
    Kenneth J. Singleton

    Stanford University, United States

    4 publications · 1.7K citations

    4

    h-index

  3. AG
    Alicia Garcı́a-Herrero

    Bruegel, Belgium

    4 publications · 109 citations

    4

    h-index

  4. AA
    António Afonso

    University of Lisbon, Portugal

    4 publications · 221 citations

    4

    h-index

  5. PM
    Petros M. Migiakis

    ATEbank (Greece), Greece

    4 publications · 136 citations

    4

    h-index

1–5 of 365

Institutions

253

  1. International Monetary Fund

    Washington D.C., United States

    29 h-index

    63 publications

    4.5K citations

  2. European Central Bank

    Frankfurt am Main, Germany

    13 h-index

    15 publications

    1.6K citations

  3. Centre for Economic Policy Research

    London, United Kingdom

    9 h-index

    11 publications

    692 citations

  4. National Bureau of Economic Research

    Cambridge, United States

    8 h-index

    11 publications

    1.4K citations

  5. Deutsche Bundesbank

    Frankfurt am Main, Germany

    8 h-index

    13 publications

    687 citations

  6. University of Lisbon

    Lisbon, Portugal

    6 h-index

    8 publications

    741 citations

  7. Athens University of Economics and Business

    Athens, Greece

    6 h-index

    6 publications

    177 citations

  8. Goethe University Frankfurt

    Frankfurt am Main, Germany

    6 h-index

    7 publications

    376 citations

1–8 of 253

Venues

  1. SSRN Electronic Journal

    Repository · 73 publications · 4K citations

    32

    h-index

  2. IMF Working Paper

    14 publications · 784 citations

    14

    h-index

  3. Journal of International Money and Finance

    12 publications · 1.3K citations

    12

    h-index

  4. RePEc: Research Papers in Economics

    Repository · 10 publications · 231 citations

    10

    h-index

  5. Journal of Banking & Finance

    7 publications · 575 citations

    7

    h-index

1–5