TY  - BOOK
AU  - Gapen,Michael T.
AU  - Gray,Dale F.
AU  - Lim,Cheng Hoon
AU  - Xiao,Yingbin
TI  - Measuring and Analyzing Sovereign Risk with Contingent Claims
T2  - IMF Working Papers; Working Paper
SN  - 1451861745 :
SN  - 1018-5941
PY  - 2005///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Contingent Claims
KW  - imf
KW  - Correlation
KW  - Currency Debt
KW  - Domestic Currency
KW  - Foreign Currency Debt
KW  - Probability
KW  - Brazil
KW  - Malaysia
KW  - Mexico
KW  - Poland
KW  - South Africa
N2  - 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
UR  - http://elibrary.imf.org/view/IMF001/04578-9781451861747/04578-9781451861747/04578-9781451861747.xml
UR  - http://www.imfbookstore.org/IMFORG/9781451861747
ER  -