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Sovereign Default Risk Valuation

Implications of Debt Crises and Bond Restructurings
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Paru le : 2006-11-23

Past cycles of sovereign lending and default in emerging markets suggest that debt crises will recur at some point. In addressing debt crises it has proven helpful to distinguish between situations of illiquidity and insolvency. Solutions range from a voluntary debt swap to a soft or hard restr...
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Description du livre

Past cycles of sovereign lending and default in emerging markets suggest that debt crises will recur at some point. In addressing debt crises it has proven helpful to distinguish between situations of illiquidity and insolvency. Solutions range from a voluntary debt swap to a soft or hard restructuring. This book shows why investors should reckon with similar credit events in the future. Insights gained from recent restructurings inspire the design of a valuation model for sovereign bonds. Using the distinction between hard and soft restructurings, the model draws parallels to the concepts of face value and market value recovery. An extension into credit default swap markets explains why bond and CDS spreads diverge during distress. This survey of the sovereign bond market provides investors with a useful toolkit for analyzing sovereign bonds and foreseeing trends in the international financial architecture. The result should be a better understanding of debt crises and more deliberate investment decisions.

À propos

Auteur
Jochen Andritzky
Éditeur
Springer
Collection
Lecture Notes in Economics and Mathematical Systems
Parution
2006-11-23
Pages
251 pages
EAN papier
9783540374480

Auteur(s) du livre


Defaut-Illustration Jochen Andritzky

Caractéristiques détaillées - droits

EAN PDF
9783540374497
Prix
52,74 €
Nombre pages copiables
2
Nombre pages imprimables
25
Taille du fichier
1761 Ko
Ce livre est accessible aux handicaps informations d'accessibilité

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