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Title: An analysis of country risk using Eurobond yields
Author: McArdle, G. V.
Awarding Body: University of Manchester
Current Institution: University of Manchester
Date of Award: 1981
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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.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available