The study conducts an empirical test on dollar-denominated sovereign credit spreads in emerging markets, including … of each country's US-dollar denominated sovereign bonds was particularly strong after the global financial crisis of 2008 …-2009. A two-factor pricing model is developed with closed-form solutions for the sovereign bonds. The correlated factors in …

collection. In particular, the case of a sovereign bond issued by the Mexican government in United States Dollars (to ensure the …-jump process to compute the monthly default probabilities of a bond issuer whose income is uncertain with high volatility in tax …