嗨，某些国家 /地区的无风险利率可以包含该国的默认期望（例如希腊或意大利），而A. Damodaran的讲座则具有调整程序。我们减去CDSspread or Default spread (dollar denominated) from the YTM of the 10 year country bond. He gives the example of Brazil and I was wondering is it applicable to other countries like Russia or Kazakhstan???
问题是：如果我国家的10年债券的YTM没有被广泛交易，并且仅接近基本利率和回购利率，我是否应该执行与Aswath Damodaran相同的程序？这对我来说没有意义，因为我不知道投资者是否首先将任何违约的期望提出来。请向我解释。
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Comments (7)
如果他将其用于巴西，我想可以将相同的分析用于其他新兴市场
但是，缺乏流动性令我担心。这是为了作业还是其他？
it's for valuation job. I work in Kazakhstan and always wondered whether such adjustment was needed
my gut would be use Aswath's procedure, because while no one likes to think about it, there are only a handful of countries that have a forgettable default risk, and Kazakhstan is not one of them.
another thing to consider is a comparative analysis of bond issues by other former USSR republics and/or middle eastern countries. I believe in the past 15 years Iraq, Egypt, Tajikistan, and others have all come to market. while your economics are different from them, it's a more useful comparison than Brazil, in my opinion.
but the risk free rate is a combination of inflation + real interest rate isn't it? if we assume the inflation of 5% and growth rate of Kazakhstan's GDP for real interest rate of 3.5-4% it equals the YTM of the 10 year bond. If I subtract theCDSspread, the cost of equity would understated, wouldn't it? In case of Brazil, he does that because the inflation + real rate is way lower than the YTM for 10 year gov't bond
因此，达马达兰（Damodaran）认为加价是为巴西所感知的国家违约率。我该如何衡量这种看法？换句话说，我怎么知道是否存在无风险利率的国家违约率？
in my opinion, the risk free rate is the rate a person earns on capital without being exposed to default risk, e.g. a 90 day treasury bill from the US, switzerland, and maybe japan/germany/UK, so I think you and I are just thinking about this differently.
in theory, some people call the 10y treasury bond of a country as growth + inflation (real GDP growth, that is) so yes, your equation works there. however, I'd argue that embedded within that is an inflation assumption, a term premium, and outside of the safe havens, default risk. so not apples to apples, my friend
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