Macro risk premium scores are differences between market-implied risk and point-in-time quantified macroeconomic risk. Two principal types of scores can be calculated for credit markets: spread-based risk premium scores and rating-based risk premium scores. This post proposes a small set of these scores for EM foreign-currency sovereign debt, targeting 24 country sub-indices of the EMBI Global. The macroeconomic component captures four risk dimensions: general government finance, external balances, international investment flows, and foreign debt sustainability. Macro risk premium scores are constructed on a point-in-time basis, making them suitable for backtesting.   A macro risk premium score is defined as the difference between a normalized priced or rated risk indicator and a normalized macro-quantamental risk factor. […]