To get the default spreads by sovereign rating, I use the CDS spreads and compute the average CDS spread by rating. For countries without a Moody's rating but with an S&P rating, I use the Moody's equivalent of the S&P rating. The local currency sovereign rating (from Moody's: and estimate the default spread for that rating (based upon tradedĬountry bonds) over a default free government bond rate. Risk premium, I start with a default spread, which I obtain in one of two ways: Of country risk premiums, you may want to modify the premia to reflect While you can use these numbers as rough estimates This table summarizes the latest bond ratings and appropriate default spreadsįor different countries. Country Default Spreads and Risk Premiums
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