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Measuring and analyzing sovereign risk with contingent claims

Author: Michael Gapen; Dale Gray; C H Lim; Yingbin Xiao; International Monetary Fund. International Capital Markets Department,
Publisher: [Washington, D.C.] : International Monetary Fund, International Capital Markets Dept., ©2005.
Series: IMF working paper, WP/05/155.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Measuring and analyzing sovereign risk with contingent claims.
[Washington, D.C.] : International Monetary Fund, International Capital Markets Dept., 2005
(OCoLC)61459135
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Michael Gapen; Dale Gray; C H Lim; Yingbin Xiao; International Monetary Fund. International Capital Markets Department,
ISBN: 1283518414 9781283518413 9781451907100 1451907109
OCLC Number: 680614557
Description: 1 online resource (49 pages).
Series Title: IMF working paper, WP/05/155.
Responsibility: prepared by Michael T. Gapen, Dale F. Gray, Cheng Hoon Lim, and Yingbin Xiao.

Abstract:

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.

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