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Into the Abyss: What if nothing is risk free?

Into the Abyss: What if nothing is risk free?. Risk free Rates: Looking at the numbers February 13, 2012. Easy does it. What is the risk free rate in US $ British Pounds Japanese Yen Swiss Francs Euros. Climbing the ladder….

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Into the Abyss: What if nothing is risk free?

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  1. Into the Abyss: What if nothing is risk free? Risk free Rates: Looking at the numbers February 13, 2012

  2. Easy does it.. • What is the risk free rate in • US $ • British Pounds • Japanese Yen • Swiss Francs • Euros

  3. Climbing the ladder… These are 10-year government bond rates in the local currencies. Estimate the risk free rates in each currency (and you can use any of the information on the next 3 pages).

  4. 1. Government bonds in $/Euro India, China, Korea and South Africa issue only local currency bonds

  5. 2. The CDS Market Here is how you read this. To insure yourself against default risk in Abu Dhabi, you will have to pay 1.02% a year. India NA Korea 1.10% South Africa 1.53%

  6. 3. Sovereign Default Spread Lookup Table

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