Sovereign risk and structural credit risk models
This thesis is an analysis of sovereign default using option pricing models. The first part of the thesis applies the structural credit risk models of Gapen, Gray, Lim and Xiao, (GGLX) and Karmann and Maltritz (KM) to 25 countries accounting for about 75% of global GDP. The GGLX model underestimates...
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University of Sheffield
2012
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.577690 |