𝔖 Bobbio Scriptorium
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A PDE approach to risk measures of derivatives

✍ Scribed by Siu, Tak Kuen; Yang, Hailiang


Book ID
121405328
Publisher
Taylor and Francis Group
Year
2000
Tongue
English
Weight
503 KB
Volume
7
Category
Article
ISSN
1350-486X

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## Abstract We propose a new approach to measuring sovereign default risk. We use sovereign credit ratings and historical default rates provided by credit rating agencies to construct a measure of ratings‐implied expected loss. We compare our measure of expected loss from sovereign defaults with st