---
title: Sovereign vs. Corporate Debt and Default: More Similar Than You Think
url: https://www.ml-quant.com/papers/repec/cpr-ceprdp-20100/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:cpr:ceprdp:20100
source_url: https://econpapers.repec.org/RePEc:cpr:ceprdp:20100
featured: 2026-09-25
citations: unknown
topic: Risk, Credit & Banking
---


# Sovereign vs. Corporate Debt and Default: More Similar Than You Think

Analysis of 20 years of US junk bonds and emerging market sovereign debt reveals surprisingly similar average returns, Sharpe ratios, default frequencies, and haircuts across the two asset classes.

- Source: https://econpapers.repec.org/RePEc:cpr:ceprdp:20100
- Identifier: RePEc:cpr:ceprdp:20100
- Released: 2026-09-18
- First featured: Quant Letter No. 132 (2026-09-25): https://www.ml-quant.com/issues/2026-09-25/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Risk, Credit & Banking
- Authors: Gopinath, Gita, Meyer, Josefin, Reinhart, Carmen, Trebesch, Christoph

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