A Critique of the Contingent Claims Approach to Sovereign Risk Analysis-Reference-Cited by-同舟云学术

A Critique of the Contingent Claims Approach to Sovereign Risk Analysis

Published:2014-01 Issue:sup1 Volume:50 Page:294-308
ISSN:1540-496X
Container-title:Emerging Markets Finance and Trade
language:en
Short-container-title:Emerging Markets Finance and Trade

Author:

Aktug Rahmi Erdem¹

Affiliation:

1. a School of Business, Richard Stockton College of New Jersey, Galloway

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.2753/REE1540-496X5001S118

Reference22 articles.

1. Afonso, A.; P. M. Gomes; and P.C. Rother. 2007. "What ‘Hides’ Behind Sovereign Debt Ratings?" Working Paper no. 711, European Central Bank, Frankfurt.

2. Allen, M.; C.B. Rosenberg; C. Keller; B. Setser; and N. Roubini. 2002. "A Balance Sheet Approach to Financial Crisis." Working Paper no. 02/210, International Monetary Fund, Washington, DC.

3. Antunes, A., and N. Silva. 2010. "An Application of Contingent Claim Analysis to the Portuguese Banking System." Financial Stability Report, Banco de Portugal, Lisbon.

4. Bohn, J.R., and P. Crosbie. 2003. "Modeling Default Risk." Moody's KMV (available at http://business.illinois.edu/gpennacc/MoodysKMV.pdf

Cited by 8 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A dynamic performance evaluation of distress prediction models;Journal of Forecasting;2022-10-17

2. Determinants of Russia’s Sovereign Risk;Russian Journal of Money and Finance;2021-12

3. Research on China's financial systemic risk contagion under jump and heavy-tailed risk;International Review of Financial Analysis;2020-11

4. Measuring the end of the European financial crisis;Economics of Transition;2017-08-09

5. An Empirical Study of CDS Premium on the Korean Sovereign Bond: Some Effect of the CTD Option;Emerging Markets Finance and Trade;2016-03-17