Measuring and Analyzing Sovereign Risk with Contingent Claims
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...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | |
|---|---|
| container_issue | |
| container_start_page | |
| container_title | |
| container_volume | |
| creator | Gapen, Michael T Xiao, Yingbin Lim, Cheng Hoon |
| description | 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. |
| format | Book |
| fullrecord | <record><control><sourceid>proquest_imf_p</sourceid><recordid>TN_cdi_proquest_ebookcentral_EBC3014153</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>EBC3014153</sourcerecordid><originalsourceid>FETCH-LOGICAL-c9984-be6d54c1a961e2efda899a1e07bb7c15cfac92e242eaaaa8094f5eb4918bb9493</originalsourceid><addsrcrecordid>eNo9UEtLw0AQXhHFWvsfchA8BXaSfc3BQw21ChXBxznsJpO6No-aTZX6641UnMvwPfiYb47YOQgJyDVwPD4Ao0ALecomynA1ElKfsVkI75xzEBpBqAm7fiAbdr1v15Fty2je2nr__Yueu0_qya_b6MmHTfTlh7co69ph1Kgdoqy2vgkX7KSydaDZ356y19vFS3YXrx6X99l8FReIRsSOVClFARYVUEJVaQ2iBeLaOV2ALCpbYEKJSMiOYziKSpITCMY5FJhO2dUhd9t3HzsKQ06u6zbFeElv63xxk6VjJZDp6Lw8OH1T5dveN7bf5wpkgtr8_0SnP379VRo</addsrcrecordid><sourcetype>Publisher</sourcetype><iscdi>true</iscdi><recordtype>book</recordtype><pqid>EBC3014153</pqid></control><display><type>book</type><title>Measuring and Analyzing Sovereign Risk with Contingent Claims</title><source>IMF E-Library</source><creator>Gapen, Michael T ; Xiao, Yingbin ; Lim, Cheng Hoon</creator><creatorcontrib>Gapen, Michael T ; Xiao, Yingbin ; Lim, Cheng Hoon</creatorcontrib><description>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.</description><edition>1</edition><identifier>ISBN: 1451861745</identifier><identifier>ISBN: 9781451861747</identifier><identifier>ISBN: 1452758239</identifier><identifier>ISBN: 9781452758237</identifier><identifier>ISBN: 1451907109</identifier><identifier>ISBN: 9781451907100</identifier><identifier>EISBN: 1451907109</identifier><identifier>EISBN: 9781451907100</identifier><identifier>OCLC: 680614557</identifier><language>eng</language><publisher>Washington: International Monetary Fund</publisher><subject>Contingent Claims ; Country risk ; Debt Sustainability ; Economic Models ; Risk Management ; Risk Premium ; Sovereign Risk</subject><creationdate>2005</creationdate><tpages>49</tpages><format>49</format><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>306,307,776,780,782,783,2597,2611,62113</link.rule.ids></links><search><creatorcontrib>Gapen, Michael T</creatorcontrib><creatorcontrib>Xiao, Yingbin</creatorcontrib><creatorcontrib>Lim, Cheng Hoon</creatorcontrib><title>Measuring and Analyzing Sovereign Risk with Contingent Claims</title><description>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.</description><subject>Contingent Claims</subject><subject>Country risk</subject><subject>Debt Sustainability</subject><subject>Economic Models</subject><subject>Risk Management</subject><subject>Risk Premium</subject><subject>Sovereign Risk</subject><isbn>1451861745</isbn><isbn>9781451861747</isbn><isbn>1452758239</isbn><isbn>9781452758237</isbn><isbn>1451907109</isbn><isbn>9781451907100</isbn><isbn>1451907109</isbn><isbn>9781451907100</isbn><fulltext>true</fulltext><rsrctype>book</rsrctype><creationdate>2005</creationdate><recordtype>book</recordtype><sourceid>2BV</sourceid><recordid>eNo9UEtLw0AQXhHFWvsfchA8BXaSfc3BQw21ChXBxznsJpO6No-aTZX6641UnMvwPfiYb47YOQgJyDVwPD4Ao0ALecomynA1ElKfsVkI75xzEBpBqAm7fiAbdr1v15Fty2je2nr__Yueu0_qya_b6MmHTfTlh7co69ph1Kgdoqy2vgkX7KSydaDZ356y19vFS3YXrx6X99l8FReIRsSOVClFARYVUEJVaQ2iBeLaOV2ALCpbYEKJSMiOYziKSpITCMY5FJhO2dUhd9t3HzsKQ06u6zbFeElv63xxk6VjJZDp6Lw8OH1T5dveN7bf5wpkgtr8_0SnP379VRo</recordid><startdate>20050801</startdate><enddate>20050801</enddate><creator>Gapen, Michael T</creator><creator>Xiao, Yingbin</creator><creator>Lim, Cheng Hoon</creator><general>International Monetary Fund</general><scope>2BV</scope><scope>C-M</scope><scope>KRY</scope></search><sort><creationdate>20050801</creationdate><title>Measuring and Analyzing Sovereign Risk with Contingent Claims</title><author>Gapen, Michael T ; Xiao, Yingbin ; Lim, Cheng Hoon</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c9984-be6d54c1a961e2efda899a1e07bb7c15cfac92e242eaaaa8094f5eb4918bb9493</frbrgroupid><rsrctype>books</rsrctype><prefilter>books</prefilter><language>eng</language><creationdate>2005</creationdate><topic>Contingent Claims</topic><topic>Country risk</topic><topic>Debt Sustainability</topic><topic>Economic Models</topic><topic>Risk Management</topic><topic>Risk Premium</topic><topic>Sovereign Risk</topic><toplevel>online_resources</toplevel><creatorcontrib>Gapen, Michael T</creatorcontrib><creatorcontrib>Xiao, Yingbin</creatorcontrib><creatorcontrib>Lim, Cheng Hoon</creatorcontrib><collection>IMF E-Library</collection><collection>IMF Books & Analytical Papers</collection><collection>International Monetary Fund (IMF)</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Gapen, Michael T</au><au>Xiao, Yingbin</au><au>Lim, Cheng Hoon</au><format>book</format><genre>book</genre><ristype>BOOK</ristype><btitle>Measuring and Analyzing Sovereign Risk with Contingent Claims</btitle><date>2005-08-01</date><risdate>2005</risdate><isbn>1451861745</isbn><isbn>9781451861747</isbn><isbn>1452758239</isbn><isbn>9781452758237</isbn><isbn>1451907109</isbn><isbn>9781451907100</isbn><eisbn>1451907109</eisbn><eisbn>9781451907100</eisbn><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.</abstract><cop>Washington</cop><pub>International Monetary Fund</pub><oclcid>680614557</oclcid><tpages>49</tpages><edition>1</edition><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISBN: 1451861745 |
| ispartof | |
| issn | |
| language | eng |
| recordid | cdi_proquest_ebookcentral_EBC3014153 |
| source | IMF E-Library |
| subjects | Contingent Claims Country risk Debt Sustainability Economic Models Risk Management Risk Premium Sovereign Risk |
| title | Measuring and Analyzing Sovereign Risk with Contingent Claims |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-02-11T00%3A02%3A13IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_imf_p&rft_val_fmt=info:ofi/fmt:kev:mtx:book&rft.genre=book&rft.btitle=Measuring%20and%20Analyzing%20Sovereign%20Risk%20with%20Contingent%20Claims&rft.au=Gapen,%20Michael%20T&rft.date=2005-08-01&rft.isbn=1451861745&rft.isbn_list=9781451861747&rft.isbn_list=1452758239&rft.isbn_list=9781452758237&rft.isbn_list=1451907109&rft.isbn_list=9781451907100&rft_id=info:doi/&rft_dat=%3Cproquest_imf_p%3EEBC3014153%3C/proquest_imf_p%3E%3Curl%3E%3C/url%3E&rft.eisbn=1451907109&rft.eisbn_list=9781451907100&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=EBC3014153&rft_id=info:pmid/&rfr_iscdi=true |