Sovereign Default Risk Valuation Implications of Debt Crises And Bond Restructurings

Andritzky, Jochen

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PRICE
FOR FREE
AUTHOR
Andritzky, Jochen
DATE
2006
ISBN
9783540374480
LANGUAGE
ENGLISH
FILE FORMAT
5,88 MB
FORMAT
FB2 EPUB PDF

BOOK 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.Andritzky, Jochen is the author of 'Sovereign Default Risk Valuation Implications of Debt Crises And Bond Restructurings', published 2006 under ISBN 9783540374480 and ISBN 3540374485.

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