A Guide to IMF Stress Testing

Chapter 24. Measuring and Analyzing Sovereign Risk with Contingent Claims

Li Ong
Published Date:
December 2014
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    Michael T. Gapen, Dale F. Gray, Cheng Hoon Lim and Yingbin Xiao This chapter was previously published in IMF Staff Papers (2008), Vol. 55, No. 1, pp. 113—48 (Gapen and others, 2008). The authors would like to thank Zvi Bodie, Robert Merton, Linda Tesar, and participants of the JP Morgan Chase seminars at the 2005 Annual Meetings of the Inter-American Development Bank in Okinawa and the Asian Development Bank in Istanbul, as well as of the Institute of International Finance Country Risk Workshop, for their comments and useful discussions. The authors also are grateful to Hung Tran, Eliot Kalter, Carlos Medeiros, and participants of the IMF Research Department seminar for their comments.
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