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Licensed Unlicensed Requires Authentication Published by De Gruyter Oldenbourg February 11, 2016

A Structural Approach to Estimate Short-Term and Long-Term Country Default Risk from Market Data: The Case of Argentina 2000/2001

  • Dominik Maltritz EMAIL logo
From the journal Review of Economics

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.

Online erschienen: 2016-2-11
Erschienen im Druck: 2013-4-1

© 2013 by Lucius & Lucius, Stuttgart

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