01937cas a2200253 a 4500 AALejournalIMF003847 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451862362 1018-5941 BD-DhAAL BD-DhAAL Peter, Marcel. How Important Is Sovereign Risk in Determining Corporate Default Premia? : The Case of South Africa / Marcel Peter, Martin Grandes. Washington, D.C. : International Monetary Fund, 2005. 1 online resource (64 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 The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield spreads). It also investigates the extent to which the practice by rating agencies and banks of not rating companies higher than their sovereign ("country or sovereign ceiling") is reflected in the yields of South African local-currency-denominated corporate bonds. The main findings are: (i) sovereign risk appears to be the single most important determinant of corporate default premia in South Africa; (ii) the sovereign ceiling (in local-currency terms) does not apply in the spreads of the industrial multinational companies in the sample; and (iii) consistent with rating agency policy, however, the sovereign ceiling appears to apply in the spreads of most financial companies in the sample. Mode of access: Internet Grandes, Martin. IMF Working Papers; Working Paper ; No. 2005/217 Full text available on IMF http://elibrary.imf.org/view/journals/001/2005/217/001.2005.issue-217-en.xml IMF e-Library