The Dynamics of the Option-Adjusted Spread of Brady Bond Securities

The Dynamics of the Option-Adjusted Spread of Brady Bond Securities

Brady bond securities represent a substantial fraction of emerging markets countries internationally tradable sovereign debt. The credit risk spread above and beyond the U.S. treasury curve for these securities is usually large in size and volatility. Moreover, most Brady bonds carry embedded option...

Full description

Bibliographic Details
Main Authors: Luiz Otavio Calôba, Franklin de O. Gonçalves
Format: Article
Language:English
Published: Brazilian Society of Finance 2003-06-01
Series:Revista Brasileira de Finanças
Subjects:
pricing interest rate derivatives
credit risk
risk management
term structure models
Brady bonds
Online Access:http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1126

Internet

http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1126

Similar Items