A new estimation technique of sovereign default risk
Using the fixed-point theorem, sovereign default models are solved by numerical value function iteration and calibration methods, which due to their computational constraints, greatly limits the models' quantitative performance and foregoes its country-specific quantitative projection ability....
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2016-12-01
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| Series: | Central Bank Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S1303070116300348 |