Emerging Market Corporate Bonds as First-to-Default Baskets
Pricing of Securities
2018-04-25 v1
Abstract
Emerging market hard-currency bonds are an asset class of growing importance, and contain exposure to an EM sovereign and the underlying industry. The authors investigate how to model this as a modification of the well-known first-to-default (FtD) basket, using the structural model, and find the approach feasible.
Cite
@article{arxiv.1804.09056,
title = {Emerging Market Corporate Bonds as First-to-Default Baskets},
author = {Richard Martin and Yao Ma},
journal= {arXiv preprint arXiv:1804.09056},
year = {2018}
}