| Sovereign Default Risk Valuation: Implications of Debt Crises and Bond Restructurings 2006 Edition Contributor(s): Andritzky, Jochen (Author) |
|
 |
ISBN: 3540374485 ISBN-13: 9783540374480 Publisher: Springer OUR PRICE: $52.24 Product Type: Paperback - Other Formats Published: October 2006 Annotation: Past cycles of sovereign lending and default in emerging markets suggest that debt crises will recur at some point. In addressing debt crises it has proven helpful to distinguish between situations of illiquidity and insolvency. Solutions range from a voluntary debt swap to a soft or hard restructuring. This book shows why investors should reckon with similar credit events in the future. Insights gained from recent restructurings inspire the design of a valuation model for sovereign bonds. Using the distinction between hard and soft restructurings, the model draws parallels to the concepts of face value and market value recovery. An extension into credit default swap markets explains why bond and CDS spreads diverge during distress. This survey of the sovereign bond market provides investors with a useful toolkit for analyzing sovereign bonds and foreseeing trends in the international financial architecture. The result should be a better understanding of debt crises and more deliberate investment decisions. |
| Additional Information |
| BISAC Categories: - Business & Economics | Finance - General - Business & Economics | Economics - Macroeconomics - Business & Economics | Public Finance |
| Dewey: 336.34 |
| LCCN: 2009659146 |
| Series: Lecture Notes in Economic and Mathematical Systems |
| Physical Information: 0.6" H x 6.35" W x 9.26" (0.90 lbs) 251 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: Past cycles of sovereign lending and default in emerging markets suggest that debt crises will recur at some point. In addressing debt crises it has proven helpful to distinguish between situations of illiquidity and insolvency. Solutions range from a voluntary debt swap to a soft or hard restructuring. This book shows why investors should reckon with similar credit events in the future. Insights gained from recent restructurings inspire the design of a valuation model for sovereign bonds. Using the distinction between hard and soft restructurings, the model draws parallels to the concepts of face value and market value recovery. An extension into credit default swap markets explains why bond and CDS spreads diverge during distress. This survey of the sovereign bond market provides investors with a useful toolkit for analyzing sovereign bonds and foreseeing trends in the international financial architecture. The result should be a better understanding of debt crises and more deliberate investment decisions. |