The Dynamics of Sovereign Credit Risk
提出了一个主权信用风险的结构模型，内生决定主权债务和违约政策，利用当地股市价格进行最大似然估计，解释了2000-2011年间新兴和欧洲经济体主权利差三分之二的日度变化，并发现全球因素（如美国市场不确定性、欧元区债券因子）进一步影响风险时变。
Abstract This article proposes a structural model for sovereign credit risk with endogenous sovereign debt and default policies. A maximum-likelihood estimation of the model with local stock market prices generates daily model-implied sovereign spreads. This approach explains two-thirds of the daily variation in observed sovereign spreads for emerging and European economies over the 2000–2011 period. Global factors help to further explain the time variation in sovereign credit risk. In particular, sovereign spreads in emerging markets vary with U.S. market uncertainty, whereas European spreads depend on Euro-zone bond factors.