01679cas a2200241 a 4500 AALejournalIMF000561 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451843378 1018-5941 BD-DhAAL BD-DhAAL Izvorski, Ivailo. Brady Bonds and Default Probabilities / Ivailo Izvorski. Washington, D.C. : International Monetary Fund, 1998. 1 online resource (24 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper computes the default probabilities implicit in the prices of Brady bonds of seven developing countries and examines the factors that determine the high cross-correlation of the probability paths. The term structure of U.S. interest rates and the ratio of long-term foreign debt to GDP, together with a developing market index, explain more than 75 percent of the cross-sectional distribution of the default probabilities. The paper also demonstrates a new way to extract sovereign riskiness, implicit in traded bond prices. This allows the above results to be interpreted as explaining the cross-sectional distribution of sovereign riskiness as well. Mode of access: Internet IMF Working Papers; Working Paper ; No. 1998/016 Full text available on IMF http://elibrary.imf.org/view/journals/001/1998/016/001.1998.issue-016-en.xml IMF e-Library