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Sovereign credit risk in a hidden Markov regime-switching framework. Part 1: Methodology

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Table 1 – Default probabilities for varying levels of a11 and leverage parameter S/K
Figure 3 – Term structure of default probabilities for varying values of a11
Table 2 – Default probabilities for varying levels of sigma1 and sigma2
Figure 9 – Brazil: term structure of default probability – CDS bootstrap

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