European Parliament Library

How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa, Marcel Peter, Martín Grandes

Contributor
Abstract
The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield spreads). It also investigates the extent to which the practice by rating agencies and banks of not rating companies higher than their sovereign ("country or sovereign ceiling") is reflected in the yields of South African local-currency-denominated corporate bonds. The main findings are: (i) sovereign risk appears to be the single most important determinant of corporate default premia in South Africa; (ii) the sovereign ceiling (in local-currency terms) does not apply in the spreads of the industrial multinational companies in the sample; and (iii) consistent with rating agency policy, however, the sovereign ceiling appears to apply in the spreads of most financial companies in the sample
Table Of Contents
""Contents""; ""I. INTRODUCTION""; ""II. REVIEW OF RELATED LITERATURE""; ""III. THEORETICAL FRAMEWORK: DETERMINANTS OF THE CORPORATE DEFAULT PREMIUM""; ""IV. OPERATIONALIZATION OF VARIABLES AND DATA""; ""V. EMPIRICAL METHODOLOGY AND RESULTS""; ""VI. SUMMARY AND CONCLUSIONS""; ""REFERENCES""
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (64 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781462318544

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