A Critique of the Contingent Claims Approach to Sovereign Risk Analysis

Autor:	Rahmi Erdem Aktug
Rok vydání:	2014
Předmět:	Credit default swap Actuarial science Work (electrical) Economics Discount points General Economics Econometrics and Finance Finance Period (music) Credit risk
Zdroj:	Emerging Markets Finance and Trade. 50:294-308
ISSN:	1558-0938 1540-496X
DOI:	10.2753/ree1540-496x5001s118
Popis:	In this paper, I examine the contingent claims approach (CCA) to measuring sovereign risk. Specifically, I extend previous work in this area and apply the CCA framework to three emerging markets—Brazil, Mexico, and Turkey—over the period 2001-10. I find that the CCA underestimates credit default swap spreads and default probabilities. Consequently, I point out the shortcomings of the CCA and suggest some remedies.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::31e4f5ff094ab9bfd3377f4ed3dfeffa https://doi.org/10.2753/ree1540-496x5001s118 Zobrazit plný text záznamu Plný text ve formátu PDF