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Market perception of sovereign credit risk in the euro area during the financial crisis
Camba-Méndez, Gonzalo; Serwa, Dobromil - 2014
use a parsimonious CDS pricing model to estimate the probability of default (PD) and the loss given default (LGD) as …
Persistent link: https://www.econbiz.de/10011605755
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Pricing sovereign credit risk of an emerging market
Camba-Méndez, Gonzalo; Kostrzewa, Konrad; Marszal, Anna; … - 2016
We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts....
Persistent link: https://www.econbiz.de/10011605969
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Market Perception of Sovereign Credit Risk in the Euro Area During the Financial Crisis
Camba-Mendez, Gonzalo - 2014
use a parsimonious CDS pricing model to estimate the probability of default (PD) and the loss given default (LGD) as …
Persistent link: https://www.econbiz.de/10013052936
Cover Image
Pricing Sovereign Credit Risk of an Emerging Market
Camba-Mendez, Gonzalo - 2016
We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts....
Persistent link: https://www.econbiz.de/10012987488
Cover Image
Pricing Sovereign Credit Risk of an Emerging Market
Camba-Mendez, Gonzalo - 2016
We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts....
Persistent link: https://www.econbiz.de/10012987870