A Methodological Approach for the Valuation of Callable Bonds in Emerging Markets: The TGI example (Borrador de administración No. 9)

Abstract

The purpose of this paper is to clarify some of the difficulties that a practitioner may find in implementing the binomial model for valuing a corporate bond with multiple embedded options in emerging markets. Especially, when faced with the dilemma of determining which should be the proxy variables for the risk-free rate, sovereign risk and country specific risk.