EPISODE · Jun 22, 2018 · 33 MIN
Richard Martin – 21/06/18
from Quantcast – a Risk.net Cutting Edge podcast · host Quantcast – a Risk.net Cutting Edge podcast
Emerging market hard-currency bonds contain exposure to an EM sovereign and the underlying industry. Richard Martin, Tolga Uzuner and Yao Ma investigate how to model this as a modification of the well-known first-to-default basket, using the structural model, and find the approach feasible
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Richard Martin – 21/06/18
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