Modelling default risk in government-guaranteed bonds

Modelling default risk in government-guaranteed bonds

Wednesday 22 April 2009 00:00 London/ 19.00 (- 1 day) New York/ 08.00 Tokyo

Sandrine Ungari and Julien Turc, quantitative strategists at SG, find that government-guaranteed bonds issued by Lloyds and Barclays are expensive versus model, while some German issues are cheap versus model

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