Please use this identifier to cite or link to this item:
https://hdl.handle.net/10419/48140
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Karmann, Alexander | en |
dc.contributor.author | Maltritz, Dominik | en |
dc.date.accessioned | 2011-07-13T10:44:36Z | - |
dc.date.available | 2011-07-13T10:44:36Z | - |
dc.date.issued | 2003 | - |
dc.identifier.uri | http://hdl.handle.net/10419/48140 | - |
dc.description.abstract | We 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.iso | eng | en |
dc.publisher | |aTechnische Universität Dresden, Fakultät Wirtschaftswissenschaften |cDresden | en |
dc.relation.ispartofseries | |aDresden Discussion Paper Series in Economics |x07/03 | en |
dc.subject.jel | F34 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Sovereign Risk | en |
dc.subject.keyword | Probability of Default | en |
dc.subject.stw | Länderrisiko | en |
dc.subject.stw | Internationale Anleihe | en |
dc.subject.stw | US-Dollar | en |
dc.subject.stw | Kreditrisiko | en |
dc.subject.stw | Risikoprämie | en |
dc.subject.stw | Optionspreistheorie | en |
dc.subject.stw | Theorie | en |
dc.subject.stw | Argentinien | en |
dc.subject.stw | Ecuador | en |
dc.subject.stw | Russland | en |
dc.title | Sovereign risk in a structural approach: Evaluating sovereign ability-to-pay and probability of default | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 82220259X | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:tuddps:0703 | en |
Files in This Item:
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.