EMERGING MARKET RISK: Calculating transfer risk using Monte Carlo - The author constructs a model of emerging market transfer risk based on a country's foreign exchange reserves that is combined with facility-dependent risk factors that determine counterparty exposure in the event of a moratorium. He then combines these with a model of contagion based on country correlation to calculate economic ...
| Year of publication: |
2004
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| Authors: | Burgt, Marco van der |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 17.2004, 1, p. 81-85
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