Eurocredit Pricing in Sovereign Lending

Eurocredit pricing to sovereign borrowers was analyzed for the period leading up to the international debt crisis. The return variable measured both fees and spread, instead of spread alone. The importance in pricing of objective and subjective indicators of country‐risk, loan characteristics, and r...

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Bibliographic Details
Published in:Journal of international financial management & accounting 1989-09, Vol.1 (3), p.244-258
Main Authors: Sand, Ole Christian, Mascarenhas, Briance
Format: Article
Language:English
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Summary:Eurocredit pricing to sovereign borrowers was analyzed for the period leading up to the international debt crisis. The return variable measured both fees and spread, instead of spread alone. The importance in pricing of objective and subjective indicators of country‐risk, loan characteristics, and regional factors were examined. The analysis revealed a discrepancy between a perceptual measure and an objective measure of country‐risk. Eurocredit pricing was not positively related to loan size and maturity, commonly viewed as increasing risk, and may have also been influenced by regional and institutional factors.
ISSN:0954-1314
1467-646X
DOI:10.1111/j.1467-646X.1989.tb00013.x