Modeling sovereign yield spreads: A case study of Russian debt

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.(...)

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Year of publication:	2001-09-24
Authors:	Duffie, Darrell ; Pedersen, Lasse Heje ; Singleton, Kenneth J.
Publisher:	Salomon Center for the Study of Financial Institutions <New York, NY> / Credit & Debt Markets Research Program
Subject:	Spread \| Kreditgewährung \| Ökonometrisches Modell \| Zins

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Extent:	536576 bytes 50 p. application/pdf
Series:	Salomon Center for the Study of Financial Institutions <New York, NY> - Publications Salomon Center for the Study of Financial Institutions <New York, NY> - Credit & Debt Markets Research Program ; 2001,05
Type of publication:	Book / Working Paper
Language:	English
Classification:	C5 - Econometric Modeling ; E4 - Money and Interest Rates ; F34 - International Lending and Debt Problems ; G12 - Asset Pricing ; Financial theory ; Individual Working Papers, Preprints ; Russia
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005846839