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A Structural Approach to Estimate Short-Term and Long-Term Country Default Risk from Market Data: The Case of Argentina 2000/2001
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Dominik Maltritz
Veröffentlicht/Copyright:
11. Februar 2016
Abstract
We apply a structural pricing model to bond market data in order to estimate the default risk for Argentina in 2000/2001. The model explicitly considers short-term and long-term debt service payments and their dependencies by employing compound option theory. In this way, it is possible to take into account both the empirically observed dependency between the term structure of bond spreads and the default risk as well as the finding that the ratio of short-term to long-term debt is of special importance for default risk. The model parameters are estimated using Duan’s (1994) time series-based maximum likelihood approach.
Keywords: Sovereign default risk; Term structure; Yield spreads; structural credit risk model; compound option theory
Online erschienen: 2016-2-11
Erschienen im Druck: 2013-4-1
© 2013 by Lucius & Lucius, Stuttgart
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Artikel in diesem Heft
- Editorial
- What Drives Investment in Telecommunications Markets? Evidence from OECD Countries
- A Structural Approach to Estimate Short-Term and Long-Term Country Default Risk from Market Data: The Case of Argentina 2000/2001
- The Effect of Public Capital on Aggregate Output
- Layoffs in a Recession and Temporary Employment Subsidies when a Recovery is Expected
Schlagwörter für diesen Artikel
Sovereign default risk;
Term structure;
Yield spreads;
structural credit risk model;
compound option theory
Artikel in diesem Heft
- Editorial
- What Drives Investment in Telecommunications Markets? Evidence from OECD Countries
- A Structural Approach to Estimate Short-Term and Long-Term Country Default Risk from Market Data: The Case of Argentina 2000/2001
- The Effect of Public Capital on Aggregate Output
- Layoffs in a Recession and Temporary Employment Subsidies when a Recovery is Expected
