search query: @freeterm Sovereignty / total: 3
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| Author: | Duffie, D. Pedersen, L.H. Singleton, K.J. |
| Title: | Modeling sovereign yield spreads: a case study of Russian debt |
| Journal: | Journal of Finance
2003 : FEB, VOL. 58:1, p. 119-159 |
| Index terms: | Debt Pricing Term structure of interest rates Russia |
| Freeterms: | Sovereignty |
| Language: | eng |
| Abstract: | A model for pricing sovereign debt that accounts for the risks of both default and restructuring and allows for compensation for illiquidity is constructed. A new and relatively efficient method is used and the model is estimated using Russian dollar-denominated bonds. |
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