The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion
By Eli M. Remolona, Michela Scatigna, E. Wu. 2008
152 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/45b931724ef3c13b9eb72235ae7ef26d02c52849
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In Finance
- Marti G. Subrahmanyam
- Francis A. Longstaff
- D. Tang
- Sarah Qian Wang
- Patrick Augustin
- Andrew Ang
- Andrew J. Patton
- Allan G. Timmermann
Citations in the corpus
- Political risk spreads (2014, unknown): “PPPP = CCCC(1 − pp) 1 + rr , (1) where p is the probability of political risk event (assuming no recovery) and r is the discount rate, say from the Sharpe (1964) CAPM.”
- Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe (2013, background): “…example, see Kamin and von Kleist (1999), Eichengreen and Mody (2000), Mauro, Sussman, and Yafeh (2002), Geyer, Kossmeier, and Pichler (2004), Rozada and Yeyati (2005), Remolona, Scatigna, and Wu (2008), Pan and Singleton (2008), Winkler (2011), and Longstaff, Pan, Pedersen, and Singleton (2011).”
- What Segments Equity Markets (2011, unknown): “…institutional investors and lead to de facto segmentation.1 It is also possible that factors affecting investors in major markets (their preferences or the level of interest rates) affect price convergence across the world (e.g., Remolona, Scatigna, and Wu (2008), Baker, Wurgler, and Yuan (2010)).”
- Credit Default Swaps: A Survey (2014, result): “The last result is corroborated in a study by Sambalaibat [2013], who documents that percentage bid-ask spreads in the sovereign CDS markets are about ten times larger than those in the underlying government bond market.”
- Political Risk and International Valuation (2016, unknown): “…show that global and/or U.S. financial conditions are important drivers of variation in sovereign spreads (see Özatay et al., 2009; Gonzalez-Rozada and Levy-Yeyati, 2008; Maier and Vasishtha, 2008; Remolana et al., 2008; Pan and Singleton, 2008; Longstaff et al., 2011 using bond and CDS data).”