NDLI: Analysis of Emerging Markets Sovereign Credit Spreads

Please wait, while we are loading the content...

Analysis of Emerging Markets Sovereign Credit Spreads

Content Provider	Semantic Scholar
Author	Matsumura, Marco S.
Copyright Year	2005
Abstract	Our objective is to implement a credit risk pricing model for sovereign bonds and estimate the model for a historical series of yields of emerging markets bonds. We use a reduced model with a Vasicek 2-factor model on Brazilian sovereign data. The estimation occurs in two stages. Using Maximum Likelihood, we first estimate the parameters corresponding to the reference curve. Then, we find the estimates of the set of parameters corresponding to the defaultable curve conditional on the default- free parameters. The estimated model is used to calculate the dynamics of the term structure of interest rates, of credit spreads and of default probabilities. Nosso objetivo e implementar um modelo de aprecamento de titulos soberanos sujeitos a defaut e estimula-lo usando uma serie historica de titulos de mercados emergentes. Usamos um modelo reduzido com uma dinâmica Vasicek 2-fatores sobre dados soberanos brasileiros. A estimacao ocorre em duas etapas. Usando Maxima Verossimilhanca, primeiro estimamos os parâmetros correspondentes a curva de referencia. Em seguida, encontramos as estimativas do conjunto de parâmetros correspondentes a curva do titulo sujeito a default condicionado aos parâmetros da curva livre de default. O modelo estimado e usado para calcular a dinâmica da estrutura a termo de taxa de juros, de spreads de credito e de probabilidade de default.
File Format	PDF HTM / HTML
DOI	10.2139/ssrn.761748
Alternate Webpage(s)	http://repositorio.ipea.gov.br/bitstream/11058/5447/1/DiscussionPaper_148.pdf
Alternate Webpage(s)	http://repositorio.ipea.gov.br/bitstream/11058/1976/1/TD_1093.pdf
Alternate Webpage(s)	https://doi.org/10.2139/ssrn.761748
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

Central Library (ISO-9001:2015 Certified)
Indian Institute of Technology Kharagpur
Kharagpur, West Bengal, India | PIN - 721302

See location in the Map
03222 282435
Mail: support@ndl.gov.in

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in