Claessens, Stijn; Pennacchi, George - In: Journal of Financial and Quantitative Analysis 31 (1996) 01, pp. 109-126
Market prices of developing country debt reflect investors' views of country repayment capacity as well as other debt-specific factors. To extract a measure of repayment capacity from debt prices, adjustments need to be made to account for: debt values being a concave function of repayment...