Series: IMF Working Papers
Author(s): Michael Gapen , Dale Gray , Cheng Lim , and Yingbin Xiao
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 August 2005
Keywords: contingent claims, probability, currency debt, foreign currency debt, domestic currency, correlation,
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...