This paper examines equilibrium price relationships and price discovery between credit default
swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings …

Contagion can be defined as the probability of observing large return realizations
simultaneously across different financial markets (co-exceedances) rather than as increases in …

… Note: This chapter was written by Jorge Chan-Lau, Marco A. Espinosa-Vega (team leader),
Kay Giesecke, and Juan Solé. The authors would like to thank, without implicating, Art …

The recent financial crisis has highlighted once more that interconnectedness in the financial
system is a major source of systemic risk. I suggest a practical way to levy regulatory capital …

This paper focuses on the investment behavior of pension funds in developed and emerging
market countries. First, it analyzes the main determinants of the emerging market asset …

… Chan-Lau is a senior economist in the Monetary and Capital Markets Department at the
International Monetary Fund. He holds MPhil and PhD degrees in Economics and Finance from …

This survey reviews a number of different fundamentals-based models for estimating default
probabilities for firms and/or industries, and illustrates them with real applications by …

This paper reviews a number of different techniques for estimating default probabilities from
the prices of publicly traded securities. These techniques are useful for assessing credit …

… Jorge Antonio Chan-Lau … * See Chan-Lau and Kim (2005) for a detailed analysis of price
discovery across … This issue has been analyzed in more detail in Chan-Lau and Kim (2005). …

We measure bank vulnerability in emerging markets using the distance-to-default, a risk
neutral indicator based on Merton's (1974) structural model of credit risk. The indicator is …