Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling
| 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 |
- 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