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- W2170686716 abstract "Using sovereign CDS spreads and currency option data for Mexico and Brazil, we document that CDS spreads covary with both the currency option implied volatility and the slope of the implied volatility curve in moneyness. We propose a joint valuation framework, in which currency return variance and sovereign default intensity follow a bivariate diffusion with contemporaneous correlation. Estimation shows that default intensity is much more persistent than currency return variance. The market price estimates on the two risk factors also explain the well-documented evidence that historical average default probabilities are lower than those implied from credit spreads." @default.
- W2170686716 created "2016-06-24" @default.
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- W2170686716 date "2006-01-01" @default.
- W2170686716 modified "2023-09-24" @default.
- W2170686716 title "Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options" @default.
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- W2170686716 doi "https://doi.org/10.2139/ssrn.745824" @default.
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