Emerging Market Corporate Bonds as First-to-Default Baskets

Richard Martin and Yao Ma

Papers from arXiv.org

Abstract: Emerging market hard-currency bonds are an asset class of growing importance, and contain exposure to an EM sovereign and the underlying industry. The authors investigate how to model this as a modification of the well-known first-to-default (FtD) basket, using the structural model, and find the approach feasible.

Date: 2018-04
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Citations: View citations in EconPapers (4)

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