Quantitative properties of sovereign default models : solution methods matter

solution methods matter

Quantitative properties of sovereign default models : solution methods matter
We study the sovereign default model that has been used to account for the cyclical behavior of interest rates in emerging market economies. This model is often solved using the discrete state space technique with evenly spaced grid points. We show that this method necessitates a large number of grid points to avoid generating spurious interest... READ MORE...

Publication date: April 2010
ISBN 9781451982770
$18.00

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