A Critique of the Contingent Claims Approach to Sovereign Risk Analysis

被引：6
|
作者：
Aktug, Rahmi Erdem [1 ]
机构：
[1] Richard Stockton Coll New Jersey, Sch Business, Galloway, NJ 08205 USA
来源：
EMERGING MARKETS FINANCE AND TRADE | 2014年 / 50卷
关键词：
contingent claims; credit default swap; default probability; sovereign risk; MARKET;
D O I：
10.2753/REE1540-496X5001S118
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：294 / 308
页数：15
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