Lecture Notes in Economics and Mathematical Systems

Sovereign Default Risk Valuation

Implications of Debt Crises and Bond Restructurings

Authors: Andritzky, Jochen

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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.

Table of contents (7 chapters)

Table of contents (7 chapters)

Buy this book

eBook $89.00
price for USA in USD
  • ISBN 978-3-540-37449-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $119.99
price for USA in USD
  • ISBN 978-3-540-37448-0
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
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Bibliographic Information

Bibliographic Information
Book Title
Sovereign Default Risk Valuation
Book Subtitle
Implications of Debt Crises and Bond Restructurings
Authors
Series Title
Lecture Notes in Economics and Mathematical Systems
Series Volume
582
Copyright
2006
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-37449-7
DOI
10.1007/978-3-540-37449-7
Softcover ISBN
978-3-540-37448-0
Series ISSN
0075-8442
Edition Number
1
Number of Pages
XII, 251
Topics