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Sovereign Default Risk Valuation

Implications of Debt Crises and Bond Restructurings

Jochen Andritzky

This book is available for download with iBooks on your Mac or iOS device, and with iTunes on your computer. Books can be read with iBooks on your Mac or iOS device.

Description

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.

Sovereign Default Risk Valuation
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  • £94.99
  • Available on iPhone, iPad, iPod touch, and Mac.
  • Category: Finance
  • Published: 23 November 2006
  • Publisher: Springer Berlin Heidelberg
  • Print Length: 263 Pages
  • Language: English
  • Requirements: To view this book, you must have an iOS device with iBooks 1.3.1 or later and iOS 4.3.3 or later, or a Mac with iBooks 1.0 or later and OS X 10.9 or later.

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