Measuring and Analyzing Sovereign Risk with Contingent Claims

By Michael T. Gapen, D. Gray, C. Lim, Yin Xiao. World Scientific Reference on Contingent Claims Analysis in Corporate Finance, 2005

142 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/69999d9862485af86cf4992061f0b71c0eedd467

Citations in the corpus

• The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion (2008, unknown): “Gapen et al (2005) and Oshiro and Saruwatari (2005), for example, apply the standard structural Merton model for corporate credit risk by defining for countries concepts of balance sheet leverage and option volatility.”
• Testing for East-West Contagion in the European Banking Sector During the Financial Crisis (2011, unknown): “We approximated the normal distribution with a high-order polynomial, following Gapen et al (2008), and we implemented a routine in MATLAB to solve the nonlinear equations.”