Measuring and analyzing sovereign risk with contingent claims

被引：33
|
作者：
Gapen, Michael
Gray, Dale [1 ]
Lim, Cheng Hoon [1 ]
Xiao, Yingbin [2 ]
机构：
[1] Int Monetary Fund, Monetary & Capital Markets Dept, Washington, DC 20431 USA
[2] Int Monetary Fund, European Dept, Washington, DC 20431 USA
来源：
IMF STAFF PAPERS | 2008年 / 55卷 / 01期
关键词：
E61; G13; G15; H63;
D O I：
10.1057/palgrave.imfsp.9450026
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper develops a comprehensive new framework to measure and analyze sovereign risk. Contingent claims analysis is used to construct a marked-to-market balance sheet for the sovereign and derive a set of forward-looking credit risk indicators that serve as a barometer of sovereign risk. Applications to 12 emerging market economies show the approach to be robust, and the risk indicators are a significant improvement over traditional macroeconomic vulnerability indicators and accounting-based measures. The framework can help policymakers design risk mitigation strategies and rank policy options using a calibrated structural model unique to each economy.
引用
收藏
页码：109 / 148
页数：40
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