White Paper

Quantitative Approaches to Modeling Sovereign Risk

October 16, 2013

As sovereign bonds have become an increasingly important part of the global financial system, accounting for roughly one-fifth of financial assets, the methods used to gauge a country's probability of default have become more critical. Whether the interested party is a corporation considering foreign investments, a trader looking for price discrepancies in the sovereign bond markets, or a firm seeking to hedge against country exposure, the need for reliable and accurate models is crucial.