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

  • Merrick Jr., John J.
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-43XFHT0-5/2/bc0a647e95f67f6b942f8513c899b1bc
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 25 (2001)
    Issue (Month): 10 (October)
    Pages: 1921-1939

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    Handle: RePEc:eee:jbfina:v:25:y:2001:i:10:p:1921-1939
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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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(01), pages 109-126, March.
    2. 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.
    3. 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 241-47, Fall.
    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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