• 1 Introduction
  • 2 A theory of sovereign default
  • 2.1 Assumptions of the model
  • 2.2 Sovereign debt pricing
  • 2.3 Sovereign market value
  • 2.4 Default boundary
  • 2.5 Credit spread
  • 3 Theoretical predictions and analysis
  • 3.1 Determinants of credit risk
  • 4 An application of the model on EMBI+ data
  • 4.1 Empirical methodology
  • 4.2 Empirical speci…cation
  • 4.3 EMBI+ spreads and predicted credit spreads with accounting data
  • 4.4 EMBI+ spreads and predicted credit spreads with market prices
  • 5 Conclusion
  • References
  • 6 Appendix<br<6.1 Model with endogenous recovery rate and level of debt
  • 6.2 Robustness analysis of the empirical section