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.   (April-1)

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

Sources of Sovereign Default Risk: An empirical analysis
by John Matovu of Makerere University
(1,972K PDF) -- 32 pages -- April 23, 2007

Credit Derivatives and Sovereign Debt Crises
by Benedikt Goderis of the University of Oxford, and
Wolf Wagner of Cambridge University and Tilburg University
(209K PDF) -- 32 pages -- March 23, 2007

Sovereign Debt Spreads in a Markov Switching Regime
by Burcu Eyigungo of UCLA
(197K PDF) -- 19 pages -- November 13, 2006

Sovereign Debt Crises and Credit to the Private Sector
by Carlos Arteta of the Board of Governors of Federal Reserve, 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 Ramanaryanan of the University of Minnesota & Federal Reserve Bank of Minneapolis
(279K 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
(342K PDF) –- 22 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

Why are there Serial Defaulters? Quasi-experimental evidence from constitutions
by Emanuel Kohlscheen of the University of Warwick
(639K PDF) -- 24 pages -- March 16, 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 and 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 and FAME, and
Gero Jung of Fame, and 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 and the International Monetary Fund, and
Nouriel Roubini of the New York University
(490K PDF) -– 33 pages -- March 2005

Modeling Country Risk Ratings Using Partial Orders
by Peter L. Hammer of Rutgers University,
Alexandr Kogan of Rutgers University, and
Miguel A. Lejeune of Carnegie Mellon University
(313K PDF) -- 30 pages -- July 2004

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 and 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

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

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

Judgmental Versus Quantitative Credit Risk Measures for Sovereigns
by Yen-Ting Hu of Birkbeck College,
Rudiger Kiesel of the London School of Economics,
William Perraudin of Birkbeck College & Bank of England & CEPR, and
Gerhard Stahl of Bundesaufsichtsamt für Kreditwesen
(105K PDF) -- 20 pages -- May 2002

The Determinants of Sovereign Bond Credit Spreads Changes
by Michael Westphalen of HEC, Université de Lausanne, and 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

The Pricing of Sovereign Risk: An Application of Option Theory
by Peter Bossaerts of UCLA
(1,190K PDF) -- 33 pages -- August 1985

Additional References (sorted by author)

Duffie, Darrel, Lasse Hefe Pedersen, and Kenneth J. Singleton, "Modeling Sovereign Yield Spreads: A Case Study of Russian Debt", Journal of Finance, Vol. 58, No. 1, (February 2003), pp. 119-159.  [Abstract]

Books

	International Financial Instability by Douglas D. Evanoff (Editor), George G. Kaufman (Editor), and John R. LaBrosse (Editor) World Scientific Publishing, (October 15, 2008) -- but now shipping, Hardcover, 492 pages
	Emerging Markets and Financial Globalization: Sovereign Bond Spreads in 1870-1913 and Today by Paolo Mauro, Nathan Sussman, and Yishay Yafeh Springer, (February 9, 2008), Paperback, 208 pages
	International Political Risk Management: Meeting the Needs of the Present, Anticipating the Challenges of the Future by Theodore H. Moran (Editor), Gerald T. West (Editor), Keith Martin (Editor) World Bank Publications, (October 19, 2007), Paperback, 296 pages