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Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 582)
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Table of contents (7 chapters)
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Front Matter
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Back Matter
About this book
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.
Authors and Affiliations
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McLean, USA
Jochen Andritzky
Bibliographic Information
Book Title: Sovereign Default Risk Valuation
Book Subtitle: Implications of Debt Crises and Bond Restructurings
Authors: Jochen Andritzky
Series Title: Lecture Notes in Economics and Mathematical Systems
DOI: https://doi.org/10.1007/978-3-540-37449-7
Publisher: Springer Berlin, Heidelberg
eBook Packages: Business and Economics, Economics and Finance (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2006
Softcover ISBN: 978-3-540-37448-0Published: 16 October 2006
eBook ISBN: 978-3-540-37449-7Published: 23 November 2006
Series ISSN: 0075-8442
Series E-ISSN: 2196-9957
Edition Number: 1
Number of Pages: XII, 251
Topics: Economics, general, Mathematics, general, Finance, general, Macroeconomics/Monetary Economics//Financial Economics, Public Economics, Economic Policy