Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/48140 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorKarmann, Alexanderen
dc.contributor.authorMaltritz, Dominiken
dc.date.accessioned2011-07-13T10:44:36Z-
dc.date.available2011-07-13T10:44:36Z-
dc.date.issued2003-
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
dc.language.isoengen
dc.publisher|aTechnische Universität Dresden, Fakultät Wirtschaftswissenschaften |cDresdenen
dc.relation.ispartofseries|aDresden Discussion Paper Series in Economics |x07/03en
dc.subject.jelF34en
dc.subject.ddc330en
dc.subject.keywordSovereign Risken
dc.subject.keywordProbability of Defaulten
dc.subject.stwLänderrisikoen
dc.subject.stwInternationale Anleiheen
dc.subject.stwUS-Dollaren
dc.subject.stwKreditrisikoen
dc.subject.stwRisikoprämieen
dc.subject.stwOptionspreistheorieen
dc.subject.stwTheorieen
dc.subject.stwArgentinienen
dc.subject.stwEcuadoren
dc.subject.stwRusslanden
dc.titleSovereign risk in a structural approach: Evaluating sovereign ability-to-pay and probability of default-
dc.typeWorking Paperen
dc.identifier.ppn82220259Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:tuddps:0703en

Datei(en):
Datei
Größe
4.38 MB





Publikationen in EconStor sind urheberrechtlich geschützt.