Aktug, Rahmi Erdem - In: Emerging Markets Finance and Trade 50 (2014) 1S, pp. 294-308
In this paper, I examine the contingent claims approach (CCA) to measuring sovereign risk. Specifically, I extend previous work in this area and apply the CCA framework to three emerging markets—Brazil, Mexico, and Turkey—over the period 2001-10. I find that the CCA underestimates credit...