This thesis develops a management tool which has implications for international banks in their assessment of the risk involved in lending to sovereign states. A bond pricing model is developed which enables one to measure the inferred probability of default of a risky bond in future periods by comparing the yield curves of the risky bond with those of a risk-free bond. This model is then applied to Dollar Eurobonds issued or guaranteed by sovereign states. The calculated probabilities of default are hence a direct measurement of Country Risk. The probabilities of default in the 5th year and the cummulative probabilities of default in the first 5 years for the sample are regressed against economic variables. A significant relationship was found between the cummulative probabilities of default and the Debt Service Ratios. GNP per capita, export growth and the proportion of imports in GNP.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:618276 |
| Date | January 1981 |
| Creators | McArdle, G. V. |
| Publisher | University of Manchester |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
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