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| Author: | Merrick Jr., J.J. |
| Title: | Crisis dynamics of implied default recovery ratios: evidence from Russia and Argentina |
| Journal: | Journal of Banking and Finance
2001 : OCT, VOL. 25:10, p. 1921-1939 |
| Index terms: | DEFAULTS ECONOMIC RECOVERY FINANCIAL CRISES INVESTMENT ARGENTINA RUSSIA |
| Language: | eng |
| Abstract: | This paper extracts both the implied default recovery ratio and the risk-neutral default probability term structure for Russian Federation and Republic of Argentina US dollar Eurobonds during the 1998 Russian default crisis. This crisis provides a unique window into the impact of changing default probabilities and recovery ratio assumptions on credit-sensitive sovereign bond prices. |
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