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Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling

This paper provides a simple model of the rescheduling of debt following a sovereign default as a bond exchange.

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Year of publication:	2002-02-01
Authors:	Westphalen, Michael
Publisher:	International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject:	Verschuldungsgrad \| Kreditrisiko \| Bewertung \| Spread \| Anleihe

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Table of Contents
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1. Introduction
2. Literature review
3. Specification of the model
4. Endogenous default boundary
5. Endogenizing the repayment fraction alpha
Numerical results
6. Comparison to otherwise equal domestic corporate bonds
7. Conclusion

Persistent link: https://www.econbiz.de/10005843306