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Journal Article

How Sovereign Is Sovereign Credit Risk?

April 1, 2011 - Francis A. Longstaff Jun Pan Lasse H. Pedersen Kenneth J. Singleton

Is sovereign credit risk primarily a country-specific type of risk, or is it driven by global macroeconomic forces external to the country? Understanding the nature of sovereign credit risk is of key importance given the large and rapidly increasing size of the sovereign debt markets.