Autor:	Rahmi Erdem Aktug, Tolga Han Seyhan
Rok vydání:	2011
Předmět:	Actuarial science Credit default swap iTraxx Financial economics Economics Default Emerging markets Gray (horse) Credit risk
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.1788683
Popis:	In this study, I examine the Contingent Claims Approach (CCA) to measure sovereign risk. Specifically, I extend the study by Gray et al. (2007), and apply the CCA framework to three emerging markets, Brazil, Mexico, and Turkey over the period 2001 to 2010. I find that CCA underestimates credit default swap spreads and default probabilities. Consequently, I point out the shortcomings of CCA, and suggest some remedies.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::1298688714864cf36a3d9f6bad27bcaa https://doi.org/10.2139/ssrn.1788683 Zobrazit plný text záznamu