Gapen, Michael; Gray, Dale; Lim, Cheng Hoon; Xiao, Yingbin - In: IMF Staff Papers 55 (2008) 1, pp. 109-148
This paper develops a comprehensive new framework to measure and analyze sovereign risk. Contingent claims analysis is used to construct a marked-to-market balance sheet for the sovereign and derive a set of forward-looking credit risk indicators that serve as a barometer of sovereign risk....