A Rating-Based Sovereign Credit Risk Model : Theory and Evidence

Research output: Conference Papers › RGC 32 - Refereed conference paper (without host publication) › peer-review

Overview

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Keyphrases

Model Theory Keyphrases

Model Evidence Keyphrases

Credit Risk Models Keyphrases

CDS Spreads Keyphrases

Sovereign Credit Ri... Keyphrases

Continuous-time Mar... Keyphrases

One Country Keyphrases

Credit Rating Keyphrases

Continuous-time Mod... Keyphrases

Country Characteris... Keyphrases

Default Risk Keyphrases

U.S. Treasury Keyphrases

VIX Index Keyphrases

Rating Transitions Keyphrases

Credit Derivatives Keyphrases

CBOE VIX Keyphrases

INIS

cadmium sulfides INIS

variations INIS

markov process INIS

Economics, Econometrics and Finance

Credit Economics, Econometrics a...

Continuous Time Economics, Econometrics a...

CDS Spreads Economics, Econometrics a...

Credit Derivative Economics, Econometrics a...

Credit Rating Economics, Econometrics a...

Markov Chain Economics, Econometrics a...

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