- 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
Persistent link: https://www.econbiz.de/10005868975