Constructing Country‐Specific Debt Indices for Developing Countries
Review of Development Economics, Volume 30, Issue 1, Page 237-254, February 2026.ABSTRACT Contemporary crises continue to keep governments in protracted periods of borrowing, increasing the stock and flow of sovereign indebtedness. Especially for developing economies and small states, singular metrics of public debt such as the debt‐to‐GDP ratio may not reflect the country's true debt position.
Akeem Rahaman, Scott Mark Romeo Mahadeo
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The COVID-19 pandemic, consumption and sovereign credit risk: Cross-country evidence. [PDF]
Econ Model, 2022 Hao X, Sun Q, Xie F.
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A Unified Framework for Pricing Credit and Equity Derivatives
, 2008 We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit bond and equity option pricing formulas that can be calibrated to find a ...
Bayraktar, Erhan, Yang, Bo
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Bond market opening, monetary policy, and systemic financial risks - An empirical study based on the TVP-SV-VAR model. [PDF]
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Proxying credit curves via Wasserstein distances. [PDF]
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An empirical study on the decoupling movements between corporate bond and CDS spreads [PDF]
Applied to the European markets, this paper analyzes the price of credit risk on the Credit Default Swap (CDS) and corporate bond markets by comparing the sensitivity of the credit spreads on each market to systematic, idiosyncratic risk factors and ...
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Data Brief, 2021 Acampora G, Schiattarella R, Troiano A.
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