Measuring and Analyzing Sovereign Risk with Contingent Claims

2005 ◽  
Author(s):  
Michael Gapen ◽  
Dale F. Gray ◽  
Cheng Hoon Lim ◽  
Yingbin Xiao
Keyword(s):  
Contingent Claims ◽  
Sovereign Risk

scholarly journals Measuring Sovereign Risk in Turkey: An Application of the Contingent Claims Approach

2007 ◽  
Vol 07 (233) ◽  
pp. 1 ◽  
Author(s):  
Christian Keller ◽  
Peter Kunzel ◽  
Marcos Souto ◽  
◽  
◽  
...  
Keyword(s):  
Contingent Claims ◽  
Sovereign Risk

Measuring Sovereign Risk With Contingent Claims Analysis: The Empirical Evidence in Southeast Asia Credit Markets

2017 ◽  
pp. 18-39
Author(s):  
Hai Ho Hong ◽  
Long Tran Duy
Keyword(s):  
Southeast Asia ◽  
Capital Structure ◽  
Balance Sheet ◽  
Contingent Claims ◽  
Options Pricing ◽  
Sovereign Risk ◽  
Claims Analysis ◽  
Short Term ◽  
Contingent Claims Analysis ◽  
Black Scholes

This paper focuses on examining the degree to which the Contingent Claims Analysis is useful for Southeast Asia markets. Such a framework is initially developed for analyzing corporate sector default based on the theory of Black-Scholes options pricing and the structure of accounting balance sheet, and then adapted to the sovereign balance sheet in a way that can help forecast credit spreads and evaluate the impacts of risk transferred from other sectors. Robustness checks indicate that sovereign CCA is consistent with most markets in the sample. Scenario analysis interprets two prospects with assumptions on economic growth and capital structure of the Vietnam government in the short-term future.

Measuring and Analyzing Sovereign Risk with Contingent Claims

2005 ◽  
Vol 05 (155) ◽  
pp. 1 ◽  
Author(s):  
Michael T. Gapen ◽  
Dale F. Gray ◽  
Cheng Hoon Lim ◽  
Yingbin Xiao ◽  
◽  
...  
Keyword(s):  
Contingent Claims ◽  
Sovereign Risk

Measuring and Analyzing Sovereign Risk with Contingent Claims

2019 ◽  
pp. 237-282
Author(s):  
Michael T. Gapen ◽  
Dale F. Gray ◽  
Cheng Hoon Lim ◽  
Yingbin Xiao
Keyword(s):  
Contingent Claims ◽  
Sovereign Risk

Measuring and Analyzing Sovereign Risk with Contingent Claims

2008 ◽  
Vol 55 (1) ◽  
pp. 109-148 ◽  
Author(s):  
Michael Gapen ◽  
Dale Gray ◽  
Cheng Hoon Lim ◽  
Yingbin Xiao
Keyword(s):  
Contingent Claims ◽  
Sovereign Risk

A chaos expansion approach for the pricing of contingent claims

2015 ◽  
Vol 18 (3) ◽  
pp. 27-58 ◽  
Author(s):  
Hideharu Funahashi ◽  
Masaaki Kijima
Keyword(s):  
Contingent Claims ◽  
Chaos Expansion
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