Country risk

MacroVar monitors country risk by monitoring credit default swap indices of different countries.

country risk

Sovereign Risk Model

Signal Last -1 Week -1 Month -3 Months -6 Months
Country Risk -0.28 -0.14 -0.22 -1.3 -1.29
Click to explore a thorough Economic and Financial analysis for more than 50 countries monitored by MacroVar.

Sovereign Credit Default Swaps

Last -1 Week -1 Month -3 Months -6 Months
United States Credit Default Swaps 10.4 10.4 9.5 9.1 11.1
France Credit Default Swaps 21.43 21.63 24.43 14.54 15.99
Germany Credit Default Swaps 9.92 10.62 10.07 9.63 10.3
United Kingdom Credit Default Swaps 11.0 12 11.25 12.5 17.5
Portugal Credit Default Swaps 31.0 31.5 32.5 28.5 38.5
Italy Credit Default Swaps 75.75 79 85.5 70.5 101.5
Spain Credit Default Swaps 33.5 34 37 30.5 45.5
Ireland Credit Default Swaps 16.75 17 14.15 14 17.25
Japan Credit Default Swaps 17.5 17 17.8 16.4 15.2
China Credit Default Swaps 35.0 36.5 38.25 31 29
Click to explore a thorough Economic and Financial analysis for more than 50 countries monitored by MacroVar.


Country risk model

Country risk (or sovereign risk) is the likelihood that a government goes bankrupt and the amount the investor loses if it happens. Credit-risky securities include government bonds. Credit default swaps are widely used derivatives used in credit risk management to describe market perceptions of credit risk for a specific sovereign. Credit default swaps (CDS) are derivatives contracts which by construction aim at quantifying the risk of default of a counterparty. Therefore, CDS written for sovereigns are early signals to monitor and detect elevated credit risk conditions for these countries and as a consequence for the global financial system.

MacroVar calculates for each of the twelve credit default swaps the average of the six month and twelve month z-scores. Extreme values of z-scores greater than two indicate elevated credit risk conditions and vice-versa. MacroVar sovereign risk index is the average of z-scores of the tweleve credit default swaps tracked.