عنوان

Sovereign default risk valuation :

(Number (ISBN

1280727373

(Number (ISBN

3540374485

(Number (ISBN

3540374493

(Number (ISBN

6610727376

(Number (ISBN

9781280727375

(Number (ISBN

9783540374480

(Number (ISBN

9783540374497

(Number (ISBN

9786610727377

Number

b760465

Publisher's Number

11818731

Title Proper

Sovereign default risk valuation :

General Material Designation

[Book]

Other Title Information

implications of debt crises and bond restructurings /

First Statement of Responsibility

Jochen Andritzky.

Place of Publication, Distribution, etc.

New York :

Name of Publisher, Distributor, etc.

Springer,

Date of Publication, Distribution, etc.

©2006.

Specific Material Designation and Extent of Item

1 online resource (xi, 251 pages :

Other Physical Details

illustrations

Series Title

Lecture notes in economics and mathematical systems ;

Volume Designation

582

Text of Note

Includes bibliographical references.

Text of Note

Introduction -- Sovereign lending and default -- Sovereign restructuring -- Modeling sovereign default risk -- Empirical estimations -- Credit default swaps -- Conclusion.

0

Text of Note

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.

Text of Note

Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.

Source for Acquisition/Subscription Address

MIL

Stock Number

072737

Title

Sovereign default risk valuation.

Debts, Public-- Developing countries.

Default (Finance)-- Developing countries.

Financial risk-- Developing countries-- Mathematical models.

Government securities-- Valuation-- Developing countries-- Mathematical models.

Affaires.

BUSINESS & ECONOMICS-- Public Finance.

Debts, Public.

Default (Finance)

Economie de l'entreprise.

Forderungsausfallrisiko

Insolvabiliteit.

Internationale Verschuldung

Obligaties.

Risikoanalyse

Schulden.

Science économique.

Swaps.

Umschuldung

Developing countries.

7

BUS-- 051000

HB

KC, PB

Number

Edition

Class number

Class number

Class number

Class number

Class number

System Code

System Code

System Code

System Code

Andritzky, Jochen R.

Date of Transaction

20201204201124.0

Cataloguing Rules (Descriptive Conventions))

pn

Electronic name

[Book]

Y