Modeling Sovereignyield Spreads: Acase Study Of Russian Debt  

Oleh:

Duffie, Darrell ; Pedersen, Lasse Heje ; Singleton, Kenneth J.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 1 (Feb. 2003), page 119-159.
Topik: SovereignYield Spreads; Russian; debt; ACase Study
Fulltext: p 119.pdf (663.84KB)

Isi artikel

We construct a model for pricing sovereign debt that accounts for the risks of both default and restructuring, and allows for compensation for illiquidity. Using a newand relatively efficient method, we estimate the model using Russian dollar-denominated bonds.We consider the determinants of the Russian yield spread, the yield differential across different Russian bonds, and the implications for market integration, relative liquidity, relative expected recovery rates, and implied expectations of different default scenarios.

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