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Crisis dynamics of implied default recovery ratios: Evidence from Russia and Argentina

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  • Merrick Jr., John J.

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  • Merrick Jr., John J., 2001. "Crisis dynamics of implied default recovery ratios: Evidence from Russia and Argentina," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1921-1939, October.
  • Handle: RePEc:eee:jbfina:v:25:y:2001:i:10:p:1921-1939
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    1. Claessens, Stijn & Pennacchi, George, 1996. "Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(1), pages 109-126, March.
    2. Wu, Chunchi, 1991. "A Certainty Equivalent Approach to Municipal Bond Default Risk Estimation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(3), pages 241-247, Fall.
    3. Leland, Hayne E & Toft, Klaus Bjerre, 1996. "Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads," Journal of Finance, American Finance Association, vol. 51(3), pages 987-1019, July.
    4. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    5. Fons, Jerome S, 1987. "The Default Premium and Corporate Bond Experience," Journal of Finance, American Finance Association, vol. 42(1), pages 81-97, March.
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    Cited by:

    1. Sy, Amadou N.R., 2004. "Rating the rating agencies: Anticipating currency crises or debt crises?," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2845-2867, November.
    2. Paul Hallwood, 2017. "Comment: Betting on Secession: Quantifying Political Events Surrounding Slavery and the Civil War," Working papers 2017-07, University of Connecticut, Department of Economics.
    3. Liz Dixon-Smith & Roman Goossens & Simon Hayes, 2005. "Default probabilities and expected recovery: an analysis of emerging market sovereign bonds," Bank of England working papers 261, Bank of England.
    4. Kim Oosterlinck & Loredana Ureche-Rangau, 2008. "Multiple Potential Payers and Sovereign Bond Prices," Finance, Presses universitaires de Grenoble, vol. 29(1), pages 31-52.
    5. Sottile, Pedro, 2013. "On the political determinants of sovereign risk: Evidence from a Markov-switching vector autoregressive model for Argentina," Emerging Markets Review, Elsevier, vol. 15(C), pages 160-185.
    6. Miśkiewicz, Janusz, 2013. "Power law classification scheme of time series correlations. On the example of G20 group," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2150-2162.
    7. Mr. Manmohan Singh, 2003. "Are Credit Default Swaps Spreads High in Emerging Markets: An Alternative Methodology for Proxying Recovery Value," IMF Working Papers 2003/242, International Monetary Fund.
    8. Sturzenegger, Federico & Zettelmeyer, Jeromin, 2008. "Haircuts: Estimating investor losses in sovereign debt restructurings, 1998-2005," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 780-805, September.
    9. Ramiro Sosa Navarro, 2005. "Default Recovery Values and Implied Default Probabilities Estimations: Evidence from the Argentinean Crisis," Documents de recherche 05-21, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    10. Kim Oosterlinck & Loredana Ureche-Rangau, 2008. "Multiple Potential Payers and Sovereign Bond Prices," Finance, Presses universitaires de Grenoble, vol. 29(1), pages 31-52.
    11. Schmukler, Sergio L. & Serven, Luis, 2002. "Pricing currency risk under currency boards," Journal of Development Economics, Elsevier, vol. 69(2), pages 367-391, December.
    12. Cruces, Juan J., 2006. "Statistical properties of country credit ratings," Emerging Markets Review, Elsevier, vol. 7(1), pages 27-51, March.
    13. Roberto Savona & Marika Vezzoli, 2015. "Fitting and Forecasting Sovereign Defaults using Multiple Risk Signals," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(1), pages 66-92, February.
    14. Oshiro, Naoto & Saruwatari, Yasufumi, 2005. "Quantification of sovereign risk: Using the information in equity market prices," Emerging Markets Review, Elsevier, vol. 6(4), pages 346-362, December.
    15. Naveed Chehrazi & Thomas A. Weber, 2015. "Dynamic Valuation of Delinquent Credit-Card Accounts," Management Science, INFORMS, vol. 61(12), pages 3077-3096, December.
    16. Andreas Rathgeber & David Rudolph & Stefan Stöckl, 2015. "Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option," Review of Derivatives Research, Springer, vol. 18(2), pages 107-143, July.
    17. Jansen, Jeroen & Das, Sanjiv R. & Fabozzi, Frank J., 2018. "Local volatility and the recovery rate of credit default swaps," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 1-29.
    18. Waldenström, Daniel & Frey, Bruno S., 2008. "Did nordic countries recognize the gathering storm of World War II? Evidence from the bond markets," Explorations in Economic History, Elsevier, vol. 45(2), pages 107-126, April.
    19. Schmukler, Sergio L. & Serven, Luis, 2002. "Pricing currency risk : facts and puzzles from currency boards," Policy Research Working Paper Series 2815, The World Bank.
    20. Haber, Stephen H & Mitchener, Kris & Oosterlinck, Kim & Weidenmier, Marc, 2014. "Predicting Winners in Civil Wars," CEPR Discussion Papers 10109, C.E.P.R. Discussion Papers.
    21. Berardi, Andrea & Ciraolo, Stefania & Trova, Michele, 2004. "Predicting default probabilities and implementing trading strategies for emerging markets bond portfolios," Emerging Markets Review, Elsevier, vol. 5(4), pages 447-469, December.

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