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Value‐at‐risk adjusted to the specificities of emerging markets

✍ Scribed by Snoussi, Wafa; El‐Aroui, Mhamed‐Ali

Book ID
120192253
Publisher
Emerald Group Publishing Limited
Year
2012
Tongue
English
Weight
173 KB
Volume
7
Category
Article
ISSN
1746-8809

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## Abstract This study explores the determinants of corporate bond spreads in emerging markets economies. Using a largely unexploited data set, the paper finds that corporate bond spreads are determined by firm‐specific variables, bond characteristics, macroeconomic conditions, country‐specific sov