Analysis of Emerging Markets Sovereign Credit Spreads

Marco S. Matsumura

No 1093, Discussion Papers from Instituto de Pesquisa Econômica Aplicada - IPEA

Abstract: Apresenta os modelos para a curva de referências e a curva soberana emergente. Mostra os resultados numéricos das estimações e uma série de gráficos com as curvas teóricas da estrutura a termo dos juros, dos spreads e das probabilidades de default.

Pages: 39 pages
Date: 2005-06
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