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Estimating The Likelihood Of Mexican Default From The Market Prices Of Brady Bonds
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Book Synopsis Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds by : Stijn Claessens
Download or read book Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds written by Stijn Claessens and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Market prices of developing country debt reflect investors' views of country repayment capacity as well as other debt-specific factors. To extract a measure of repayment capacity from debt prices, adjustments need to be made to account for: debt values being a concave function of repayment capacity; the specific terms of the debt agreement; and the presence of third-party guarantees. This paper derives a measure of repayment capacity by constructing a pricing model that takes these factors into account. Applying the model to Brady bonds issued by Mexico, we find that estimated repayment capacity often performs differently from the unadjusted bond prices. We demonstrate that other Mexican bonds can be priced fairly accurately on the basis of this repayment capacity measure.
Book Synopsis Brady Bonds and Default Probabilities by : Ivailo Izvorski
Download or read book Brady Bonds and Default Probabilities written by Ivailo Izvorski and published by International Monetary Fund. This book was released on 1998-02-01 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper computes the default probabilities implicit in the prices of Brady bonds of seven developing countries and examines the factors that determine the high cross-correlation of the probability paths. The term structure of U.S. interest rates and the ratio of long-term foreign debt to GDP, together with a developing market index, explain more than 75 percent of the cross-sectional distribution of the default probabilities. The paper also demonstrates a new way to extract sovereign riskiness, implicit in traded bond prices. This allows the above results to be interpreted as explaining the cross-sectional distribution of sovereign riskiness as well.
Book Synopsis Are Markets Learning? by : Luca Barbone
Download or read book Are Markets Learning? written by Luca Barbone and published by World Bank Publications. This book was released on 1997 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Deriving Developing Country Repayment Capacity from the Market Prices of Sovereign Debt by : Stijn Claessens
Download or read book Deriving Developing Country Repayment Capacity from the Market Prices of Sovereign Debt written by Stijn Claessens and published by World Bank Publications. This book was released on with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Credit Risk Valuation by : Manuel Ammann
Download or read book Credit Risk Valuation written by Manuel Ammann and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an advanced introduction to models of credit risk valuation, concentrating on firm-value and reduced-form approaches and their application. Also included are new models for valuing derivative securities with credit risk. The book provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multivariate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.
Book Synopsis Progress in Economics Research by : Albert Tavidze
Download or read book Progress in Economics Research written by Albert Tavidze and published by Nova Publishers. This book was released on 2007-04 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: This series spans the globe presenting leading research in economics. It is perhaps a sign of the times that economic weapons such as sanctions seem to be as powerful as or more so than tanks. International applications and examples of economic progress are invaluable in a troubled world with economic booms bursting like so many penny balloons. Globalisation, outstanding and jobless recoveries present economic issues of concern to millions.
Book Synopsis Risk Management: The State of the Art by : Stephen Figlewski
Download or read book Risk Management: The State of the Art written by Stephen Figlewski and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Very often, we associate the dawn of modern financial theory with Harry Markowitz who in the 1950s introduced the formal mathematics of probability theory to the problem of managing risk in an asset portfolio. The 1970s saw the advent of formal models for pricing options and other derivative contracts, whose primary purpose was also financial risk management and hedging. But events in the 1990s made it clear that effective risk management is a critical element for success, and indeed, for long term survival, not only for financial institutions, but also for industrial firms, and even for nonprofit organizations and governmental bodies. These recent events vividly show that the world is filled with all manner of risks, and so risk management must extend far beyond the use of standard derivative instruments in routine hedging applications. The articles in this volume cover two broad themes. One theme emphasizes methods for identifying, modeling, and hedging specific types of financial and business risks. Articles in this category consider the technology of risk measurement, such as Value at Risk and extreme value theory; new classes of risk, such as liquidity risk; new financial instruments and markets for risk management, such as derivative contracts based on weather and on catastrophic insurance risks; and finally, credit risk, which has become one of the most important areas of practical interest for risk management. The second theme stresses risk management from the perspective of the firm and the financial system as a whole. Articles in this category analyze risk management in the international arena, including payment and settlement risks and sovereign risk pricing, risk management from the regulator's viewpoint, and risk management for financial institutions. The articles in this volume examine the "State of the Art" in risk management from the standpoint of academic researchers, market analysts and practitioners, and government observers.
Book Synopsis Perspectives on International Fixed Income Investing by : Frank J. Fabozzi, CFA
Download or read book Perspectives on International Fixed Income Investing written by Frank J. Fabozzi, CFA and published by John Wiley & Sons. This book was released on 1998-02-15 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: U.S. investors are pouring billions of dollars into the international fixed income markets. In Perspectives on International Fixed Income Investing, an international cast of experts discusses proven strategies for investing successfully in these challenging markets. Topics addressed include assessing credit risk, managing currency volatility, understanding local markets, and maximizing yields.
Book Synopsis Managing Economic Volatility and Crises by : Joshua Aizenman
Download or read book Managing Economic Volatility and Crises written by Joshua Aizenman and published by Cambridge University Press. This book was released on 2005-10-03 with total page 615 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic volatility has come into its own after being treated for decades as a secondary phenomenon in the business cycle literature. This evolution has been driven by the recognition that non-linearities, long buried by the economist's penchant for linearity, magnify the negative effects of volatility on long-run growth and inequality, especially in poor countries. This collection organizes empirical and policy results for economists and development policy practitioners into four parts: basic features, including the impact of volatility on growth and poverty; commodity price volatility; the financial sector's dual role as an absorber and amplifier of shocks; and the management and prevention of macroeconomic crises. The latter section includes a cross-country study, case studies on Argentina and Russia, and lessons from the debt default episodes of the 1980s and 1990s.
Download or read book JOURNAL of BANKING & FINANCE written by and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Crises, Sovereign Risk and the Role of Institutions by : Dominik Maltritz
Download or read book Financial Crises, Sovereign Risk and the Role of Institutions written by Dominik Maltritz and published by Springer Science & Business Media. This book was released on 2014-01-17 with total page 199 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent world economic crisis showed very clearly that financial crises and sovereign defaults are severe threats to economic and social prosperity. In addition, it became apparent that currency crises and banking crises often occur together and are closely related to sovereign debt crises and defaults. The present book contains new research on various important issues related to financial crises and sovereign default risk by leading experts in the field. The book discusses new modelling approaches to financial crises, defaults and their interdependencies. It also sheds light on the consequences of different sorts of crises for the trust in the institutions which are concerned with managing them. Moreover, it provides discussions of several institutional features of the EMU and the world financial system and in particular the risks inherent in these institutions. The book also includes interesting suggestions for solving crises and improving financial stability.
Book Synopsis Sovereign Default Risk Valuation by : Jochen Andritzky
Download or read book Sovereign Default Risk Valuation written by Jochen Andritzky and published by Springer Science & Business Media. This book was released on 2006-11-23 with total page 261 pages. Available in PDF, EPUB and Kindle. Book excerpt: Past cycles of sovereign lending and default suggest that debt crises will recur at some point. This book shows why investors should reckon with similar credit events in the future. Surveying the sovereign bond market, the author provides investors with a useful toolkit for analyzing sovereign bonds and foreseeing trends in the international financial architecture. The result should be a better understanding of debt crises and more deliberate investment decisions.
Book Synopsis Financial Institutions and Services by : Robert S. Uh
Download or read book Financial Institutions and Services written by Robert S. Uh and published by Nova Publishers. This book was released on 2006 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: Book & Computer Disk. This book examines international aspects of financial institutions as well as their economic performance and development. Emphasis is placed on transition economics as well as Developing Countries. Issues within the scope of this new book include: financial reporting, efficiency of financial institutions, Middle-East financial institutions, money market liquidity, economic performance, risk capital allocation, financial market soundness, instability, devaluations, capital flight and related issues, including governance.
Book Synopsis Bond Valuation in Emerging Markets by : Valentin Ulrici
Download or read book Bond Valuation in Emerging Markets written by Valentin Ulrici and published by Josef Eul Verlag GmbH. This book was released on 2007 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Can Liquidity Risk be Subsumed in Credit Risk? by : Henri Pagès
Download or read book Can Liquidity Risk be Subsumed in Credit Risk? written by Henri Pagès and published by . This book was released on 2001 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Deriving Developing Country Repayment Capacity from the Market Prices of Sovereign Debt by : Stijn Claessens
Download or read book Deriving Developing Country Repayment Capacity from the Market Prices of Sovereign Debt written by Stijn Claessens and published by . This book was released on 1992 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: The market prices of developing countries' debts are imperfect indicators of the countries' payment capacity, for three reasons: the concave shape of the debbt's payoff structure, the presence of third- party guarantees, and the differences in the terms of various debt claims. This new model takes those factors into account.
Book Synopsis Recent Developments in Financial Economics by :
Download or read book Recent Developments in Financial Economics written by and published by . This book was released on 1997 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
