Measuring and Analyzing Sovereign Risk with Contingent Claims /
This paper develops a comprehensive new framework to measure and analyze sovereign risk. Since traditional macroeconomic vulnerability indicators and accounting-based measures do not address risk in a comprehensive and forward-looking way, the contingent claims approach is used to construct a marked...
| Autor Principal: | Gapen, Michael |
|---|---|
| Outros autores: | Gray, Dale, Lim, Cheng, Xiao, Yingbin |
| Formato: | Revista |
| Idioma: | English |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
2005.
|
| Series: | IMF Working Papers; Working Paper ;
No. 2005/155 |
| Acceso en liña: | Full text available on IMF |
Títulos similares
-
Measuring Sovereign Risk in Turkey : An Application of the Contingent Claims Approach /
por: Keller, Christian
Publicado: (2007) -
Systemic Contingent Claims Analysis : Estimating Market-Implied Systemic Risk /
por: Jobst, Andreas A.
Publicado: (2013) -
The Contingent Claims Approach to Corporate Vulnerability Analysis : Estimating Default Risk and Economy-Wide Risk Transfer /
por: Xiao, Yingbin
Publicado: (2004) -
Uncertainty Premia, Sovereign Default Risk, and State-Contingent Debt /
por: Roch, Francisco
Publicado: (2021) -
State-Contingent Debt Instruments for Sovereigns.
Publicado: (2017)