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Emerging Market Corporate Bonds as First-to-Default Baskets

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  • Richard Martin
  • Yao Ma

Abstract

Emerging market hard-currency bonds are an asset class of growing importance, and contain exposure to an EM sovereign and the underlying industry. The authors investigate how to model this as a modification of the well-known first-to-default (FtD) basket, using the structural model, and find the approach feasible.

Suggested Citation

  • Richard Martin & Yao Ma, 2018. "Emerging Market Corporate Bonds as First-to-Default Baskets," Papers 1804.09056, arXiv.org.
    • Handle: RePEc:arx:papers:1804.09056
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    File URL: http://arxiv.org/pdf/1804.09056
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    Cited by:

    1. Ho, Shirley S. & Looi, Jiemin & Chuah, Agnes S.F. & Leong, Alisius D. & Pang, Natalie, 2018. "“I can live with nuclear energy if…”: Exploring public perceptions of nuclear energy in Singapore," Energy Policy, Elsevier, vol. 120(C), pages 436-447.
    2. Richard J. Martin, 2020. "Credit migration: Generating generators," Papers 2006.11146, arXiv.org, revised Feb 2021.
    3. Richard J. Martin, 2022. "The credit spread curve. I: Fundamental concepts, fitting, par-adjusted spread, and expected return," Papers 2201.01330, arXiv.org, revised Apr 2024.
    4. Richard J. Martin, 2020. "Fixed income portfolio optimisation: Interest rates, credit, and the efficient frontier," Papers 2004.02312, arXiv.org.

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