We address the problem how to estimate default probabilities for sovereign countries based on market data of traded debt. A structural Merton-type model is applied to a sample of emerging market and transition countries. In this context, only few and heterogeneous default probabilities are...

We address the problem how to estimate default probabilities for sovereign countries based on market data of traded debt. A structural Merton-type model is applied to a sample of emerging market and transition countries. In this context, only few and heterogeneous default probabilities are...

Fat tails of q-Gaussian distributions of daily log-leverage-returns of 520 North American industrial firms reported by Katz and Tian (2013) imply a significantly higher credit risk at short time-horizons and/or large initial distances to the default barrier than forecasted by traditional...

This paper provides a simple model of the rescheduling of debt following a sovereign default as a bond exchange.

A voluminous literature seeks to explore the relation between law and finance, but offers little insights into dynamic relation between legal change and behavioral outcomes or about the distributive effects of law on different market participants. The current paper disentangles the law-finance...

We model a typical Asian-crisis-economy using dynamic general equilibrium tech-niques. Exchange rates obtain from nontrivial fiat-currencies demands. Sudden stops/bank-panics are possible, and key for evaluating the merits of alternative ex-change rate regimes. Strategic complementarities...

Mexico is retrogressing, becoming an unpredictable and risky jurisdiction for the adjudication of legitimate claims involving domestic and international lenders and investors. This conclusion follows from an analysis of the precedent-setting corporate workout involving a major Mexican...

Mexico is retrogressing, becoming an unpredictable and risky jurisdiction for the adjudication of legitimate claims involving domestic and international lenders and investors. This conclusion follows from an analysis of the precedent-setting corporate workout involving a major Mexican...

The pedestrian narrative about the Greek financial crisis and default is that the country was fiscally mismanaged for a long time and failed to carry out needed structural reforms that could have improved economic growth prospects and enhanced the country’s creditworthiness. Therefore, a...

The pedestrian narrative about the Greek financial crisis and default is that the country was fiscally mismanaged for a long time and failed to carry out needed structural reforms that could have improved economic growth prospects and enhanced the country’s creditworthiness. Therefore, a...