Abstract
Recent financial crises suggest the importance of the diffusion mechanism, at an international level, of emerging bonds markets shocks. Using extreme value analysis for the sovereign debt spreads of emerging markets, the present paper explores the extreme dependence of the colombian risk premium to international financial markets. The architecture of capital markets can lead a collapse of emerging markets, arranging that fundamentals do not determine the position liquidation totally. The relation between the colombian country risk and the United States asset markets shows that an increase in global uncertainty defines a flight to quality and therefore an additional increase in the contagion probability for the emerging markets bonds.
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