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.
| ISBN: | 9783540374480 |
| Publication date: | 16th October 2006 |
| Author: | Jochen R Andritzky |
| Publisher: | Springer an imprint of Springer Berlin Heidelberg |
| Format: | Paperback |
| Pagination: | 251 pages |
| Series: | Lecture Notes in Economics and Mathematical Systems |
| Genres: |
Economics Macroeconomics Political economy Finance and the finance industry Civil service and public sector Mathematics |
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.
Sovereign Default Risk Valuation features in the following genres: Economics, Macroeconomics, Political economy, Finance and the finance industry, Civil service and public sector, Mathematics
Sovereign Default Risk Valuation is available in Paperback
Sovereign Default Risk Valuation was written by Jochen R Andritzky and published by Springer an imprint of Springer Berlin Heidelberg
Sovereign Default Risk Valuation has 251 pages
Yes it is part of Lecture Notes in Economics and Mathematical Systems series