메뉴 건너뛰기




Volumn 55, Issue 1, 2008, Pages 109-148

Measuring and analyzing sovereign risk with contingent claims

Author keywords

[No Author keywords available]

Indexed keywords


EID: 41449117002     PISSN: 10207635     EISSN: 15645150     Source Type: Book Series    
DOI: 10.1057/palgrave.imfsp.9450026     Document Type: Article
Times cited : (47)

References (44)
  • 3
    • 85015692260 scopus 로고
    • The Pricing of Options and Corporate Liabilities
    • Black, Fischer, and Myron S. Scholes, 1973, "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, Vol. 81, No. 3, pp. 637-54.
    • (1973) Journal of Political Economy , vol.81 , Issue.3 , pp. 637-654
    • Black, F.1    Scholes, M.S.2
  • 4
    • 34948860622 scopus 로고    scopus 로고
    • Central Bank Vulnerability and the Credibility of Its Commitments: A Value-at-Risk Approach
    • fall, pp
    • Blejer, M., and L. Schumacher, 1999, "Central Bank Vulnerability and the Credibility of Its Commitments: A Value-at-Risk Approach," Journal of Risk, Vol. 2 (fall), pp. 37-56.
    • (1999) Journal of Risk , vol.2 , pp. 37-56
    • Blejer, M.1    Schumacher, L.2
  • 5
    • 41449110722 scopus 로고    scopus 로고
    • Bohn, Jeffrey, Navneet Arora, and Irina Korablev, 2005, Power and Level Validation of the EDF Credit Measure in the U.S. Market (San Francisco, Moody's KMV).
    • Bohn, Jeffrey, Navneet Arora, and Irina Korablev, 2005, Power and Level Validation of the EDF Credit Measure in the U.S. Market (San Francisco, Moody's KMV).
  • 7
    • 41449095179 scopus 로고
    • Measurement of the Public Sector Deficit and Its Implications for Policy Evaluation and Design
    • ed. by Mario I. Blejer and Adrienne Cheasty Washington, International Monetary Fund
    • Buiter, Willem H., 1993, "Measurement of the Public Sector Deficit and Its Implications for Policy Evaluation and Design," in How to Measure the Fiscal Deficit, ed. by Mario I. Blejer and Adrienne Cheasty (Washington, International Monetary Fund).
    • (1993) How to Measure the Fiscal Deficit
    • Buiter, W.H.1
  • 8
    • 41449103569 scopus 로고    scopus 로고
    • Caballero, Ricardo J., and Stavros Panageas, 2005, Insurance and Reserves Management in a Model of Sudden Stops, paper presented at the IMF Institute seminar, Emerging Markets Macroeconomics: An Insurance Perspective, Washington, February 7-9.
    • Caballero, Ricardo J., and Stavros Panageas, 2005, "Insurance and Reserves Management in a Model of Sudden Stops," paper presented at the IMF Institute seminar, "Emerging Markets Macroeconomics: An Insurance Perspective," Washington, February 7-9.
  • 13
    • 41449087382 scopus 로고    scopus 로고
    • Crosbie, Peter J., and Jeffrey R. Bohn, 2003, Modeling Default Risk: Modeling Methodology (San Francisco, Moody's KMV).
    • Crosbie, Peter J., and Jeffrey R. Bohn, 2003, Modeling Default Risk: Modeling Methodology (San Francisco, Moody's KMV).
  • 14
    • 0002027984 scopus 로고    scopus 로고
    • A Comparative Analysis of Current Credit Risk Models
    • January, pp
    • Crouhy, Michel, Dan Galai, and Robert Mark, 2000, "A Comparative Analysis of Current Credit Risk Models," Journal of Banking & Finance, Vol. 24 (January), pp. 59-17.
    • (2000) Journal of Banking & Finance , vol.24 , pp. 59-17
    • Crouhy, M.1    Galai, D.2    Mark, R.3
  • 15
    • 41449099117 scopus 로고    scopus 로고
    • Eichengreen, Barry, Ricardo Hausmann, and Ugo Panizza, 2002, Original Sin: The Pain, the Mystery, and the Road to Redemption, paper presented at Inter-American Development Bank conference, Currency and Maturity Matchmaking: Redeeming Debt from Original Sin, Washington, November 21-22. Available via the Internet: www.iadb.org/res/publications/pubfiles/pubS-158.pdf.
    • Eichengreen, Barry, Ricardo Hausmann, and Ugo Panizza, 2002, "Original Sin: The Pain, the Mystery, and the Road to Redemption," paper presented at Inter-American Development Bank conference, "Currency and Maturity Matchmaking: Redeeming Debt from Original Sin," Washington, November 21-22. Available via the Internet: www.iadb.org/res/publications/pubfiles/pubS-158.pdf.
  • 17
    • 84898271119 scopus 로고    scopus 로고
    • Gapen, and Michael Papaioannou, 2007, International Reserves Accumulation: Some Lessons from Asia, in Information Technology and Economic Development, ed. by Yutaka Kurihara and others (Hershey, Idea Group, Inc.).
    • Gapen, and Michael Papaioannou, 2007, "International Reserves Accumulation: Some Lessons from Asia," in Information Technology and Economic Development, ed. by Yutaka Kurihara and others (Hershey, Idea Group, Inc.).
  • 18
    • 41449083880 scopus 로고    scopus 로고
    • Gray, and Dale F., 2004, Modeling Sovereign Default Risk and Country Risk Using Moody's-MfRisk Framework with Specific Country Applications, Unpublished MfRisk Working Paper No. 1-04.
    • Gray, and Dale F., 2004, "Modeling Sovereign Default Risk and Country Risk Using Moody's-MfRisk Framework with Specific Country Applications," Unpublished MfRisk Working Paper No. 1-04.
  • 19
    • 41449099512 scopus 로고    scopus 로고
    • A New Framework for Risk and Sovereign Wealth Management
    • ed. by Jennifer Johnson-Calari and Malan Rietveld London, Central Bank Publications
    • Gray, 2007, "A New Framework for Risk and Sovereign Wealth Management," in Sovereign Wealth Management, ed. by Jennifer Johnson-Calari and Malan Rietveld (London, Central Bank Publications).
    • (2007) Sovereign Wealth Management
    • Gray1
  • 21
    • 41449090584 scopus 로고    scopus 로고
    • Gray, Robert C. Merton, and Zvi Bodie, 2002, A New Framework for Analyzing and Managing Macrofinancial Risks, presented at NYU C.V. Starr Conference on Finance and Macroeconomics, October 11-12.
    • Gray, Robert C. Merton, and Zvi Bodie, 2002, "A New Framework for Analyzing and Managing Macrofinancial Risks," presented at NYU C.V. Starr Conference on Finance and Macroeconomics, October 11-12.
  • 23
    • 28144444552 scopus 로고    scopus 로고
    • Dealing with Banking Crises in Dollarized Economies
    • ed. by Charles Collyns and G. Russell Kincaid, IMF Occasional Paper No. 217 Washington, International Monetary Fund
    • Gulde, Anne-Marie, David Hoelscher, Alain Ize, Alfredo Leone, David Marston, and Marina Moretti, 2003, "Dealing with Banking Crises in Dollarized Economies," in Managing Financial Crises: Recent Experience and Lessons for Latin America, ed. by Charles Collyns and G. Russell Kincaid, IMF Occasional Paper No. 217 (Washington, International Monetary Fund).
    • (2003) Managing Financial Crises: Recent Experience and Lessons for Latin America
    • Gulde, A.-M.1    Hoelscher, D.2    Ize, A.3    Leone, A.4    Marston, D.5    Moretti, M.6
  • 25
    • 84991544560 scopus 로고    scopus 로고
    • Ukraine: Recent Economic Developments
    • International Monetary Fund (IMF, No. 99/42 Washington
    • International Monetary Fund (IMF), 1999, Ukraine: Recent Economic Developments, IMF Country Report No. 99/42 (Washington).
    • (1999) IMF Country Report
  • 26
    • 0039396085 scopus 로고    scopus 로고
    • Washington, Available via the Internet
    • International Monetary Fund (IMF), 2000, "Debt- and Reserve-Related Indicators of External Vulnerability," (Washington). Available via the Internet: www.imf.org/external/np/pdr/debtres/debtres.pdf.
    • (2000) Debt- and Reserve-Related Indicators of External Vulnerability
  • 28
    • 84993915193 scopus 로고
    • Predicting Volatility in the Foreign Exchange Market
    • June, pp
    • Jorion, Philippe, 1995, "Predicting Volatility in the Foreign Exchange Market," Journal of Finance, Vol. 50 (June), pp. 507-28.
    • (1995) Journal of Finance , vol.50 , pp. 507-528
    • Jorion, P.1
  • 32
    • 0001898990 scopus 로고    scopus 로고
    • Estimating the Probability Distribution of the Future Exchange Rate from Option Prices
    • winter, pp
    • Malz, Allan M, 1997, "Estimating the Probability Distribution of the Future Exchange Rate from Option Prices," Journal of Derivatives, Vol. 5 (winter), pp. 118-36.
    • (1997) Journal of Derivatives , vol.5 , pp. 118-136
    • Malz, A.M.1
  • 33
    • 41449090003 scopus 로고    scopus 로고
    • McQuown, John A, 1993, A Comment on Market vs. Accounting-Based Measures of Default Risk (San Francisco, Moody's KMV).
    • McQuown, John A, 1993, A Comment on Market vs. Accounting-Based Measures of Default Risk (San Francisco, Moody's KMV).
  • 35
    • 0000808665 scopus 로고
    • On the Pricing of Corporate Debt: The Risk Structure of Interest Rates
    • May, pp
    • Merton, Robert C, 1974, "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, Vol. 29 (May), pp. 449-70.
    • (1974) Journal of Finance , vol.29 , pp. 449-470
    • Merton, R.C.1
  • 36
    • 49449127434 scopus 로고
    • An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees: An Application of Modern Option Pricing Theory
    • June, pp
    • Merton, Robert C, 1977, "An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees: An Application of Modern Option Pricing Theory," Journal of Banking and Finance, Vol. 1 (June), pp. 3-11.
    • (1977) Journal of Banking and Finance , vol.1 , pp. 3-11
    • Merton, R.C.1
  • 37
    • 0003433397 scopus 로고
    • Cambridge, Massachusetts, Blackwell Publishers
    • Merton, Robert C, 1990, Continuous-Time Finance (Cambridge, Massachusetts, Blackwell Publishers).
    • (1990) Continuous-Time Finance
    • Merton, R.C.1
  • 38
    • 0000830017 scopus 로고    scopus 로고
    • Applications of Option-Pricing Theory: Twenty-Five Years Later
    • June, pp
    • Merton, Robert C, 1998, "Applications of Option-Pricing Theory: Twenty-Five Years Later," American Economic Review, Vol. 88 (June), pp. 323-49.
    • (1998) American Economic Review , vol.88 , pp. 323-349
    • Merton, R.C.1
  • 40
    • 41449108503 scopus 로고    scopus 로고
    • Sims, Christopher A., 1999, Domestic Currency Denominated Government Debt as Equity in the Primary Surplus, paper presented at the Latin American meetings of the Econometric Society, Cancun, Mexico, August 19.
    • Sims, Christopher A., 1999, "Domestic Currency Denominated Government Debt as Equity in the Primary Surplus," paper presented at the Latin American meetings of the Econometric Society, Cancun, Mexico, August 19.
  • 41
    • 41449101575 scopus 로고    scopus 로고
    • Sobehart, Jorge, Sean Keenan, and Roger Stein, 2000, Validation Methodologies for Default Risk Models (San Francisco, Moody's KMV).
    • Sobehart, Jorge, Sean Keenan, and Roger Stein, 2000, Validation Methodologies for Default Risk Models (San Francisco, Moody's KMV).
  • 42
    • 41449099710 scopus 로고    scopus 로고
    • Sobehart, Jorge, and Roger M. Stein, 2000, Moody's Public Firm Risk Model: A Hybrid Approach to Modeling Short Term Default Risk (San Francisco: Moody's KMV).
    • Sobehart, Jorge, and Roger M. Stein, 2000, Moody's Public Firm Risk Model: A Hybrid Approach to Modeling Short Term Default Risk (San Francisco: Moody's KMV).
  • 44
    • 34547828935 scopus 로고    scopus 로고
    • What Do Bond Holdings Reveal About International Funds' Preferences
    • September, pp
    • Xiao, Yingbin, 2007, "What Do Bond Holdings Reveal About International Funds' Preferences," Emerging Markets Review, Vol. 8 (September), pp. 167-80.
    • (2007) Emerging Markets Review , vol.8 , pp. 167-180
    • Xiao, Y.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.