Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
Posted: 31 Aug 2003
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Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
Number of pages: 49
Posted: 11 Jul 2001
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Abstract
We construct a model for pricing sovereign debt that accounts for the risks of both default and restructuring, and allows for compensation for illiquidity. Using a new and relatively efficient method, we estimate the model using Russian dollar-denominated bonds. We consider the determinants of the Russian yield spread, the yield differential across different Russian bonds, and the implications for market integration, relative liquidity, relative expected recovery rates, and implied expectations of different default scenarios.
Suggested Citation: Suggested Citation
Duffie, James Darrell and Pedersen, Lasse Heje and Singleton, Kenneth J., Modeling Sovereign Yield Spreads: A Case Study of Russian Debt. Available at SSRN: https://ssrn.com/abstract=377110
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