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Pricing sovereign credit risk of an emerging market
Serwa, Dobromił; Camba-Méndez, Gonzalo; Kostrzewa, Konrad - Narodowy Bank Polski - 2014
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/10011170406
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Pricing sovereign credit risk of Poland : evidence from the CDS market
Camba-Méndez, Gonzalo; Kostrzewa, Konrad; Marszal, Anna; … - In: Emerging markets finance & trade : a journal of the … 52 (2016) 10/12, pp. 2687-2705
Persistent link: https://www.econbiz.de/10011675567
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Pricing sovereign credit risk of an emerging market
Camba-Méndez, Gonzalo; Kostrzewa, Konrad; Marszal, Anna; … - 2016
Persistent link: https://www.econbiz.de/10011618591
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Market perception of sovereign credit risk in the euro area during the financial crisis
Camba-Méndez, Gonzalo; Serwa, Dobromił - 2014
Persistent link: https://www.econbiz.de/10010416432
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Market perception of sovereign credit risk in the euro area during the financial crisis
Camba-Méndez, Gonzalo; Serwa, Dobromił - In: The North American journal of economics and finance : a … 37 (2016), pp. 168-189
Persistent link: https://www.econbiz.de/10011672946
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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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Pricing Sovereign Credit Risk of an Emerging Market
Camba-Mendez, Gonzalo - 2015
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/10013017360
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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
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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
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The definition of price stability : choosing a price measure
Camba-Méndez, Gonzalo - In: Background studies for the ECB's evaluation of its …, (pp. 31-41). 2004
Persistent link: https://www.econbiz.de/10002202387