Richard Martin – 21/06/18
Quantcast – a Risk.net Cutting Edge podcast - A podcast by Quantcast – a Risk.net Cutting Edge podcast

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Emerging market hard-currency bonds contain exposure to an EM sovereign and the underlying industry. Richard Martin, Tolga Uzuner and Yao Ma investigate how to model this as a modification of the well-known first-to-default basket, using the structural model, and find the approach feasible