Sovereign Rescheduling: Risk and Portfolio Management - Hardcover

Solberg, Ronald

 
9780043321225: Sovereign Rescheduling: Risk and Portfolio Management

Synopsis

The problem of international debt and the threat it poses to the security of the world trade and payments system acquires no introduction as more and more institutions are making ever-larger provisions against bad debt.This book, written by a specialist in sovereign risk analysis specifically for banking professionals and other experts in international finance, shows how both creditors and debtors can manage their respective portfolios to minimise vulnerability to debt rescheduling risk. Applications include credit scoring and asset allocation, valuing international loans, pricing debt-debt swap, and identifying arbitrage opportunities in the secondary market.Stressing the need to seek solutions to the debt crisis based on rigorous economic analysis, Dr Solberg utilises an impressive data set set of 67 borrowers from 1971 to 1984 to derive a new behaviour model. This model not only demonstrates that rescheduling results from policy choices made in reaction to global disturban

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