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Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2003)
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| Venue: | JOURNAL OF FINANCE |
| Citations: | 136 - 9 self |
BibTeX
@ARTICLE{Duffie03modelingsovereign,
author = {Darrell Duffie and Lasse Heje Pedersen and Kenneth J. Singleton},
title = {Modeling Sovereign Yield Spreads: A Case Study of Russian Debt},
journal = {JOURNAL OF FINANCE},
year = {2003},
volume = {58},
pages = {119--160}
}
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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.
Keyphrases
sovereign yield spread case study russian debt sovereign bond different default scenario russian dollar-denominated bond market integration russian yield spread relative liquidity different russian bond recovery rate perceived risk paper develops model efficient method sovereign debt implied expectation regime switch future default credit spread
