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Measuring and Analyzing Sovereign Risk with Contingent Claims
16 references·16 citing·29 second hopsampled
Measuring and Analyzing Sovereign Risk with Contingent Claims (2008)Measuring and Analyzing Sovereign Risk wi…Theory of rational option pricing (2005)Theory of rational option pri…Applied Computational Economics and Finance (2002)Applied Computational Economi…A Balance Sheet Approach to Financial Crisis (2002)A Balance Sheet Approach to F…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Capital Controls: Country Experiences with Their Use and Liberalization (2000)Capital Controls: Country Exp…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…Numerical Methods in Economics (1998)Numerical Methods in EconomicsFinancial Calculus: An Introduction to Derivative Pricing. (1997)Financial Calculus: An Introd…Estimating the Probability Distribution of the Future Exchange Rate from Option Prices (1997)Estimating the Probability Di…Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …Continuous-Time Finance. (1991)Continuous-Time Finance.Options, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)An analytic derivation of the…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela (2019)An investigation of oil price…Financial stress and economic activity in some emerging Asian economies (2015)Financial stress and economic…On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected) (2013)On a New Approach for Analyzi…Fitting and Forecasting Sovereign Defaults using Multiple Risk Signals (2013)Fitting and Forecasting Sover…Sovereign Debt Restructurings 1950-2010 (2012)Sovereign Debt Restructurings…Sovereign and Financial-Sector Risk: Measurement and Interactions (2012)Sovereign and Financial-Secto…Measuring financial stress in transition economies (2012)Measuring financial stress in…Euro Area Sovereign Debt Crisis: Can Contagion Spread from the Periphery to the Core? (2012)Euro Area Sovereign Debt Cris…The Dynamics of Sovereign Credit Risk (2011)The Dynamics of Sovereign Cre…Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets (2010)Sovereign Default Risk and Pr…Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets (2010)Sovereign Default Risk and Pr…Modeling Financial Crises and Sovereign Risks (2009)Modeling Financial Crises and…French Banks Amid the Global Financial Crisis (2009)French Banks Amid the Global …Sukuk vs. Eurobonds: Is There a Difference in Value-at-Risk? (2007)Sukuk vs. Eurobonds: Is There…A ratings‐based approach to measuring sovereign risk (2007)A ratings‐based approach to m…A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy (2006)A New Framework for Analyzing…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Modern Portfolio Theory and Investment Analysis. (1982)Economic Forces and the Stock Market (1986)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Risk Assessment for Banking Systems (2006)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Strategic Asset Allocation (2002)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)The Theory of Bank Risk Taking and Competition Revisited (2005)The Credit Crisis Around the Globe: Why Did Some Banks Perform Better? (2011)How does capital affect bank performance during financial crises? (2013)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)5 Stochastic volatility (1996)Statistical aspects of ARCH and stochastic volatility (1996)Monte Carlo methods for security pricing (1997)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Option pricing: A simplified approach (1979)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1998Numerical Methods in Economics2,587 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory1,923 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 1995Predicting Volatility in the Foreign Exchange Market723 cited
  • 2002Applied Computational Economics and Finance501 cited
  • 2000Capital Controls: Country Experiences with Their Use and Liberalization379 cited
  • 1997Financial Calculus: An Introduction to Derivative Pricing.361 cited
  • 2002A Balance Sheet Approach to Financial Crisis275 cited
  • 1997Estimating the Probability Distribution of the Future Exchange Rate from Option Prices

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239 cited

Cited by

  • 2012Sovereign Debt Restructurings 1950-2010120 cited
  • 2012Measuring financial stress in transition economies115 cited
  • 2012Euro Area Sovereign Debt Crisis: Can Contagion Spread from the Periphery to the Core?91 cited
  • 2013On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected)89 cited
  • 2015Financial stress and economic activity in some emerging Asian economies89 cited
  • 2006A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy86 cited
  • 2007Sukuk vs. Eurobonds: Is There a Difference in Value-at-Risk?67 cited
  • 2013Fitting and Forecasting Sovereign Defaults using Multiple Risk Signals63 cited
  • 2007A ratings‐based approach to measuring sovereign risk60 cited
  • 2011The Dynamics of Sovereign Credit Risk56 cited
  • 2009French Banks Amid the Global Financial Crisis49 cited
  • 2012Sovereign and Financial-Sector Risk: Measurement and Interactions49 cited
  • 2019An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela48 cited
  • 2010Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets44 cited
  • 2009Modeling Financial Crises and Sovereign Risks37 cited
  • 2010Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets36 cited