01872cas a2200277 a 4500 AALejournalIMF003651 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451861747 1018-5941 BD-DhAAL BD-DhAAL Gapen, Michael. Measuring and Analyzing Sovereign Risk with Contingent Claims / Michael Gapen, Dale Gray, Cheng Lim, Yingbin Xiao. Washington, D.C. : International Monetary Fund, 2005. 1 online resource (49 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper develops a comprehensive new framework to measure and analyze sovereign risk. Since traditional macroeconomic vulnerability indicators and accounting-based measures do not address risk in a comprehensive and forward-looking way, the contingent claims approach is used to construct a marked-to-market balance sheet for the sovereign, and derive a set of credit-risk indicators that serve as a barometer of sovereign risk. Applications to 12 emerging market economies show the risk indicators to be robust and highly correlated with market spreads. The framework can help policymakers design risk mitigation strategies and rank policy options using a calibrated structural model unique to each economy. Mode of access: Internet Gray, Dale. Lim, Cheng. Xiao, Yingbin. IMF Working Papers; Working Paper ; No. 2005/155 Full text available on IMF http://elibrary.imf.org/view/journals/001/2005/155/001.2005.issue-155-en.xml IMF e-Library