Sovereign Default Risk Valuation: Implications of Debt Crises and Bond Restructurings - Couverture souple

Livre 20 sur 126: Lecture Notes in Economics and Mathematical Systems

Andritzky, Jochen

 
9783540374480: Sovereign Default Risk Valuation: Implications of Debt Crises and Bond Restructurings
Couverture souple
ISBN 10 : 3540374485 ISBN 13 : 9783540374480
Editeur : Springer, 2006

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer
Date d'édition
2006
Langue
anglais
ISBN 10 
3540374485
ISBN 13 
9783540374480
Reliure
Broché
Nombre de pages
268
Coordonnées du fabricant
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