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This article shows that a sizable component of emerging market sovereign yield spreads is due to factors other than default risk, such as liquidity. The author estimates the non-default component of the yield spreads as the basis between the actual credit default swap (CDS) premium and the...
Persistent link: https://www.econbiz.de/10008764702
correlation between CRI and a number of defaults through several business cycles. The new model for the simulation of the annual …
Persistent link: https://www.econbiz.de/10011108672