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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26560
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| Title: | Modeling Sovereign Yield Spreads: A Case Study of Russian Debts |
| Authors: | Duffie, Darrell
Pedersen, Lasse
Singleton, Kenneth J |
| Issue Date: | 24-Sep-2001 |
| Series/Report no.: | FIN-01-021 |
| Abstract: | 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 new and 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. |
| URI: | http://hdl.handle.net/2451/26560 |
| Appears in Collections: | Finance Working Papers
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