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dc.contributor.authorKarmann, Alexanderen_US
dc.contributor.authorMaltritz, Dominiken_US
dc.date.accessioned2011-07-13T10:44:36Z-
dc.date.available2011-07-13T10:44:36Z-
dc.date.issued2003en_US
dc.identifier.urihttp://hdl.handle.net/10419/48140-
dc.description.abstractWe quantify the probability that a sovereign defaults on repayment obligations in foreign currency. Adopting the structural approach as first introduced by Merton, we consider the sovereigns ability-to-pay, characterised by the sum of discounted future payment surpluses, as the underlying process. Its implicit volatility is inferred from market spreads. We demonstrate for the case of Latin America and Russia that our approach indicates default events well in advance of agencies and markets.en_US
dc.language.isoengen_US
dc.publisherTechn. Univ., Fak. Wirtschaftswiss. Dresdenen_US
dc.relation.ispartofseriesDresden discussion paper in economics 07/03en_US
dc.subject.jelF34en_US
dc.subject.ddc330en_US
dc.subject.keywordSovereign Risken_US
dc.subject.keywordProbability of Defaulten_US
dc.subject.stwLänderrisikoen_US
dc.subject.stwInternationale Anleiheen_US
dc.subject.stwUS-Dollaren_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwRisikoprämieen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwTheorieen_US
dc.subject.stwArgentinienen_US
dc.subject.stwEcuadoren_US
dc.subject.stwRusslanden_US
dc.titleSovereign risk in a structural approach: Evaluating sovereign ability-to-pay and probability of defaulten_US
dc.typeWorking Paperen_US
dc.identifier.ppn362950679en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:tuddps:0703-
Appears in Collections:Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden

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