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Measuring and Analyzing Sovereign Risk with Contingent Claims · Study

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ArticleMeasuring and Analyzing Sovereign Risk with Contingent Claims

Michael T. Gapen2008

Article2008

Measuring and Analyzing Sovereign Risk with Contingent Claims

Michael T. Gapen · Dale F. Gray · Cheng Hoon Lim · Yingbin Xiao

122 citations·0/0 files stored·IMF Staff Papers

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Global Financial Crisis and Policies Fiscal Policies and Political Economy Credit Risk and Financial Regulations

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References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1998Numerical Methods in Economics 2000Value At Risk: The New Benchmark for Managing Financial Risk 1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory 1991Continuous-Time Finance.

Cited by

2012Sovereign Debt Restructurings 1950-2010 2012Measuring financial stress in transition economies 2012Euro Area Sovereign Debt Crisis: Can Contagion Spread from the Periphery to the Core?2013On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected)2015Financial stress and economic activity in some emerging Asian economies 2006A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy

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2006A New Framework for Analyzing and Managing Macrofinancial Risks of an Economyreport · 13 shared references 2012Sovereign and Financial-Sector Risk: Measurement and Interactionsreview · 8 shared references 2009Modeling Financial Crises and Sovereign Risksreview · 8 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 7 shared references 2019Contingent Claims Approach to Measuring and Managing Sovereign Credit Riskchapter · 7 shared references 2004The Contingent Claims Approach to Corporate Vulnerability Analysis: Estimating Default Risk and Economy-Wide Risk Transferpreprint · 7 shared references

Details

Year2008

Typearticle

Published2008-01-22

VenueIMF Staff Papers

ISSN-L1020-7635

Languageen

Citations122

Files0 public / 0

ShelfGlobal Financial Crisis and Policies

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doi10.1057/palgrave.imfsp.9450026

openalex_workW2015928467

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2007Sukuk vs. Eurobonds: Is There a Difference in Value-at-Risk?

2013Fitting and Forecasting Sovereign Defaults using Multiple Risk Signals