Modeling sovereign yield spreads: A case study of Russian debt

• 成果类型: Article
• 署名作者: Duffie, D; Pedersen, LH; Singleton, KJ
• 署名单位: Stanford University; New York University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00520
• 发表日期: 2003
• 页码: 119-159
• 关键词: term structure; likelihood-estimation; SWAP; premia

摘要

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.