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This paper studies the effect of sovereign debt restructurings with external private creditors on...

We study the link between the probability of default implied by Credit Default Swaps (CDS)...

We analyze holdings of public bonds by over 20,000 banks in 191 countries, and the role of these...

This paper introduces the Asset and Liability Management (ALM) compound option model. The model...

We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral...

How do oil price movements affect sovereign spreads in an oil-dependent economy? I develop a...