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...

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Bibliographic Details
Main Author: Gapen, Michael
Other Authors: Gray, Dale, Lim, Cheng, Xiao, Yingbin
Format: Journal
Language:English
Published: Washington, D.C. : International Monetary Fund, 2005.
Series:IMF Working Papers; Working Paper ; No. 2005/155
Online Access:Full text available on IMF