Copeland, Laurence S. (contributor); Zhu, Yanhui (contributor) - 2007
the form of a claim paying a �xed return. However, in the
event of an economic disaster, the Government guarantee may fail … that the extreme-event shocks, vt;v t both take the value zero (i.e no
disaster occurs) with probability:
e 1 (1 ) + e … in one country has no bearing on the probabilty of default in the other.) In
the event of default, the shortfall is a …