Credit Risk Spreads in Local and Foreign Currencies
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- Dan Galai & Zvi Wiener, 2012. "Credit Risk Spreads in Local and Foreign Currencies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(5), pages 883-901, August.
References listed on IDEAS
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KeywordsEconomic models; Exchange rates; Capital markets; Credit risk; Corporate sector; Currencies; Debt; Debt restructuring; Dollarization; Bonds; Asset prices; Foreign debt; Sovereign debt; credit spread; currency mismatch; Merton’s model; correlation; bond; present value; probability;
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