Gapen, Michael T.
Measuring and Analyzing Sovereign Risk with Contingent Claims Michael T Gapen. [electronic resource] / Michael T Gapen. - Washington, D.C. : International Monetary Fund, 2005. - 1 online resource (49 p.) - IMF Working Papers; Working Paper ; No. 05/155 . - IMF Working Papers; Working Paper ; No. 05/155 .
This paper develops a comprehensive new framework to measure and analyze sovereign risk. Since traditional macroeconomic vulnerability indicators and accounting-based measures do not address risk in a comprehensive and forward-looking way, the contingent claims approach is used to construct a marked-to-market balance sheet for the sovereign, and derive a set of credit-risk indicators that serve as a barometer of sovereign risk. Applications to 12 emerging market economies show the risk indicators to be robust and highly correlated with market spreads. The framework can help policymakers design risk mitigation strategies and rank policy options using a calibrated structural model unique to each economy.
1451861745 : 15.00 USD
1018-5941
10.5089/9781451861747.001 doi
Contingent Claims
Correlation
Currency Debt
Domestic Currency
Foreign Currency Debt
Probability
Brazil
Malaysia
Mexico
Poland
South Africa
Measuring and Analyzing Sovereign Risk with Contingent Claims Michael T Gapen. [electronic resource] / Michael T Gapen. - Washington, D.C. : International Monetary Fund, 2005. - 1 online resource (49 p.) - IMF Working Papers; Working Paper ; No. 05/155 . - IMF Working Papers; Working Paper ; No. 05/155 .
This paper develops a comprehensive new framework to measure and analyze sovereign risk. Since traditional macroeconomic vulnerability indicators and accounting-based measures do not address risk in a comprehensive and forward-looking way, the contingent claims approach is used to construct a marked-to-market balance sheet for the sovereign, and derive a set of credit-risk indicators that serve as a barometer of sovereign risk. Applications to 12 emerging market economies show the risk indicators to be robust and highly correlated with market spreads. The framework can help policymakers design risk mitigation strategies and rank policy options using a calibrated structural model unique to each economy.
1451861745 : 15.00 USD
1018-5941
10.5089/9781451861747.001 doi
Contingent Claims
Correlation
Currency Debt
Domestic Currency
Foreign Currency Debt
Probability
Brazil
Malaysia
Mexico
Poland
South Africa