Abstract

http://ssrn.com/abstract=1788683
 
 

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A Critique of the Contingent Claims Approach to Sovereign Risk Analysis


Rahmi Erdem Aktug


The Richard Stockton College of New Jersey

May 8, 2013

Emerging Markets Finance and Trade, Vol. Jan-Feb, 2014

Abstract:     
In this study, I examine the Contingent Claims Approach (CCA) to measure sovereign risk. Specifically, I extend the study by Gray et al. (2007), and apply the CCA framework to three emerging markets, Brazil, Mexico, and Turkey over the period 2001 to 2010. I find that CCA underestimates credit default swap spreads and default probabilities. Consequently, I point out the shortcomings of CCA, and suggest some remedies.

Number of Pages in PDF File: 26

Keywords: Sovereign Risk, Contingent Claims

JEL Classification: F34, G13

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Date posted: March 23, 2011 ; Last revised: August 13, 2014

Suggested Citation

Aktug, Rahmi Erdem, A Critique of the Contingent Claims Approach to Sovereign Risk Analysis (May 8, 2013). Emerging Markets Finance and Trade, Vol. Jan-Feb, 2014. Available at SSRN: http://ssrn.com/abstract=1788683 or http://dx.doi.org/10.2139/ssrn.1788683

Contact Information

Rahmi Erdem Aktug (Contact Author)
The Richard Stockton College of New Jersey ( email )
101 Vera King Farris Drive
Pomona, NJ 08240
United States
6104178443 (Phone)
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