The behavior of emerging market sovereigns' credit default swap premiums and bond yield spreads

Author:

Adler Michael,Song Jeong

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference44 articles.

1. Arbitrage-free pricing of credit derivatives with rating transitions;Acharya;Financial Analysts Journal,2002

2. Andritzky J, Singh M. 2006. The pricing of credit default swaps during distress. IMF Working Paper.

3. An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps;Blanko;Journal of Finance,2005

4. Chan-Lau JA. 2003. Anticipating credit event using credit default swaps, with an application to sovereign debt crises. IMF Working Paper, May.

5. Chan-Lau JA, Kim YS. 2004. Equity prices, credit default swaps, and bond spreads in emerging markets. IMF Working Paper WP/04/27.

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