Markets: A Novel Approach to Assess Sovereign Debt Risk

Ed Altman will evaluate the current market conditions affecting the risks and returns in the corporate debt market and using his path-breaking models, will assess the outlook for corporate defaults and losses. Chief among the market uncertainties is the vulnerability of several European countries to a deterioration and possible default on their outstanding government debt. Utilizing a novel approach to assess sovereign risk from the “bottom-up,” Altman has established a method to quantify the year probability of default of any country.