tailieunhanh - Measuring sovereign risk with contingent claims analysis: The empirical evidence in southeast Asia credit markets

Measuring sovereign risk with contingent claims analysis: The empirical evidence in southeast Asia credit markets. This paper focuses on examining the degree to which the Contingent Claims Analysis is useful for Southeast Asia markets. Such a framework is initially developed for analyzing corporate sector default based on the theory of Black-Scholes options pricing. | Journal of Economics and Development, , , December 2017, pp. 18-39 ISSN 1859 0020 Measuring Sovereign Risk With Contingent Claims Analysis: The Empirical Evidence in Southeast Asia Credit Markets Ho Hong Hai Foreign Trade University, Vietnam Email: Tran Duy Long K&G Vietnam Investments JSC, Vietnam Abstract This paper focuses on examining the degree to which the Contingent Claims Analysis is useful for Southeast Asia markets. Such a framework is initially developed for analyzing corporate sector default based on the theory of Black-Scholes options pricing and the structure of accounting balance sheet, and then adapted to the sovereign balance sheet in a way that can help forecast credit spreads and evaluate the impacts of risk transferred from other sectors. Robustness checks indicate that sovereign CCA is consistent with most markets in the sample. Scenario analysis interprets two prospects with assumptions on economic growth and capital structure of the Vietnam government in the short-term future. Keywords: Capital structure; contingent pricing; sovereign distress. Journal of Economics and Development 18 Vol. 19, , December 2017 1. Introduction systematic risk for a certain investment that is called the “risk premium”. An excess required return for an unstable financial market easily makes sense, but the differences among countries requires more. Comparing the United States’ developed market and the Southeast Asian emerging markets, we plainly recognize the need of considering another premium for risk at a macro economy scale. The adjusted CAPM also takes the country risk into account and applies an additional risk premium when it comes to those markets. In the era of cross-border cooperation, the global economy has become significantly more vulnerable due to the uncertainty of capital flows in financial markets, leading to the issues of low liquidity and enormous credit risk. The empirical evidence denotes increasingly .

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