The Australian credit default swap (CDS) market has been increasingly used by financial institutions to trade and manage credit risk. As a result, there has been greater use of the market as a source of credit risk pricing information. Similarities between CDS and bonds allow pricing in the two...

We test whether the country risk variable is a significant risk factor in several CAPM based models of expected equity returns in Argentina, Brazil, Mexico, South Africa, Russia, Turkey and Venezuela. We also test the usual assumption that country risk can be added with a coefficient value of...

Standard approaches to estimating credit default probability estimation have certain drawbacks, most importantly regarding the underestimation of the true default probability which remains an undesirable property in sovereign risk management. As an alternative, this research applies a...

В данной статье рассмотрена классическая и синтетическая секьюритизация, их историческое развитие от самого возникновения. Были описаны основные инструменты...