This paper reviews a number of different techniques for estimating default probabilities from
the prices of publicly traded securities. These techniques are useful for assessing credit …

This article presents an intensity-based model of euro-area sovereign spreads. To identify
liquidity-pricing effects, we exploit the information contained in the spreads between bonds …

This paper develops an early warning system for debt crises broadly defined as episodes of
outright default or failure of a country to be current on external obligations. A multinomial …

In the absence of forward-looking models for recovery rates, market participants tend to use
exogenously assumed constant recovery rates in pricing models. We develop a flexible …

In this paper, we study the long and short-runs determinants of sovereign CDS spread for
eight emerging countries from 2008. Q4 to 2013. Q2. We estimate the spread of sovereign …

Kredi Temerrüt Swapları (CDS) finansal piyasalarda en yaygın kullanılan kredi türevlerinden
bir tanesidir. Türktahvillerinin CDS primleri ve primleri etkileyen faktörler üzerine …

Crises on external sovereign debt are typically defined as defaults. Such a definition
adequately captures debt-servicing difficulties in the 1980s, a period of numerous defaults …

Çalışmada, CDS (Kredi Temerrüt Swapı) ve Euro-tahvil primleri arasındaki ilişkinin Avrupa
Borç Krizi'nin başlangıç dönemini de içine alan Ocak 2009-Kasım 2012 döneminde ne …

Ülke riskinin bir göstergesi olarak kullanılan ve diğer risk göstergelerine göre daha doğru
sonuçlar sunan kredi temerrüt swapları (CDS), alacaklının, borçlunun borcunu ödememesi …

Crises on external sovereign debt are typically defined as defaults. Such a definition
accurately captures debt-servicing difficulties in the 1980s, a period of numerous defaults on …