韩国主权信贷-韩国的主权信用风险：友善背后的平静.pdfVIP

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韩国主权信贷-韩国的主权信用风险：友善背后的平静.pdf

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SOVEREIGN AND SUPRANATIONAL SECTOR IN-DEPTH Sovereign Supranational 12 January 2018 South Korea’s Sovereign Credit Risk: Calmer Against a Friendlier Backdrop After a year of volatile reaction to political turmoil in and around the Korean peninsula in 2017, South Korea’s 5-Year EDFTM (Expected Default Frequency) measure of its sovereign Contacts credit risk smoothly plummeted in the first days of the new year. On January 1, 2018 the EDF Dana Gordon +1.212.553.0398 was 0.23%. On January 11 it was 0.17%, a 26% improvement in investors’ outlook on the Assc Dir-Senior Editor 1 probability of default for this sovereign over the next five years. (Figure 1.) dana.gordon@ Irina Baron +1.212.553.4307 The 5-year CDS spread, a major input to the EDF model, also dropped in 2018, from 57 bp on Associate Director January 1 to 45 bp on January 11. irina.baron@ The EDF’s high for the past 12 months was 0.30% in November 8 and its low was 0.11% in Reginald White +1.212.553.4184 Research Analyst January 2017. The CDS spread reached 77 bp on September 27 after bottoming at 44 bp on reginald.white@ March 17. CLIENT SERVICES In early 2017 South Korea weathered a major internal p