Quantitative Properties of Sovereign Default Models; Solution Methods Matter
Year of publication: |
2010-04-01
|
---|---|
Authors: | Martinez, Leonardo ; Sapriza, Horacio ; Hatchondo, Juan Carlos |
Institutions: | International Monetary Fund (IMF) |
Subject: | Sovereign debt | Asset management | Bonds | Credit risk | Economic models | Emerging markets | External borrowing | Interest rates | bond | bond price | computation | statistics | simulation results | samples | equation | probability | correlation | standard deviation | bond prices | optimization | autocorrelation | derivative | polynomials | equations | correlations | stochastic process | statistic | standard deviations | government bonds | asymptotic distribution | time series | financial markets | probabilities | price derivative | logarithm | risk-free interest rate |
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