Risk Assessments and Risk Premiums in the Eurodollar Market

  • Author(s): GERSHON FEDER, KNUD ROSS
  • Published: Apr 30, 2012
  • Pages: 679-691
  • DOI: 10.1111/j.1540-6261.1982.tb02217.x

ABSTRACT

Increasing awareness of the potential risks involved in lending to heavily indebted governments focuses attention on credit pricing in the Eurodollar market. This paper utilizes a recent survey of country‐by‐country risk assessments as perceived by lenders to show that a systematic relationship exists between these assessments and interest rates in the Euromarket. The relationship is derived from an underlying model described in the paper. The estimated parameters verify a number of hypotheses, providing insights on the loss rates lenders expect to incur in case of default.

Jump to menu

Main Navigation

Search the Site / Journal

Search Keywords

Search Tips

Members' Login

Credentials

Members' Options

Site Footer

View Mobile Version