Sovereign Default Risk Valuation: Implications of Debt Crises and Bond Restructurings (Lecture Notes in Economics and Mathematical Systems, 582)

Andritzky, Jochen

ISBN 10: 3540374485 / ISBN 13: 9783540374480

Published by Springer, 2006

About this Item

This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,500grams, ISBN:9783540374480.

Seller Inventory # 3703715

Bibliographic Details

• Title: Sovereign Default Risk Valuation: Implications of Debt Crises and Bond Restructurings (Lecture Notes in Economics and Mathematical Systems, 582)
• Publisher: Springer
• Publication Date: 2006
• Language: English
• ISBN 10: 3540374485
• ISBN 13: 9783540374480
• Binding: Soft cover
• Condition: Good
• Weight: 500 grams
• Seller catalogs:
  • Economics

About this title

Synopsis

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.