Emerging market corporate bonds as first-to-default baskets


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Emerging market (EM) hard-currency bonds are an asset class of growing importance, containing exposure to an EM sovereign and the underlying industry. Richard Martin, Tolga Uzuner and Yao Ma investigate how to model this as a modification of the well-known first-to-default basket, using the structural model, and find the approach feasible

Emerging market (EM) hard-currency corporate bonds have come to be regarded as a

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