English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

In this paper we use Merton’s (1976) model for pricing options when the underlying asset is driven by a mixed diffusion-jump process to compute the monthly default probabilities of a bond issuer whose income is uncertain with high volatility in tax collection. In particular, the case of a sovereign bond issued by the Mexican government in United States Dollars (to ensure the existence of default risk) is illustrated. The proposed methodology is based on the concepts of: previous leverage, income generation, non-recurring expenses, term and loan size (traditionally used in the calculation of probabilities of default), which provides an alternative methodology for computing a priori default probabilities.

Sovereign Bond's Credit Risk Immunization in a Tax Income Volatility Environment the Case of an USD Denominated Mexican Bond