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Measuring sovereign risk with contingent claims analysis: The empirical evidence in southeast Asia credit markets

Chia sẻ: Trần Minh Luân | Ngày: | Loại File: PDF | Số trang:22

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Measuring sovereign risk with contingent claims analysis: The empirical evidence in southeast Asia credit markets

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Measuring sovereign risk with contingent claims analysis: The empirical evidence in southeast Asia credit markets. This paper focuses on examining the degree to which the Contingent Claims Analysis is useful for Southeast Asia markets. Such a framework is initially developed for analyzing corporate sector default based on the theory of Black-Scholes options pricing.

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