This paper estimates both the default recovery values and the risk-neutral default probabilities embedded in the argentine sovereign bond prices during the crisis of December 2001. It is applied the model presented by J. Merrick Jr. (2001). On De- cember 24th, a stand-in president announced the...

This paper applies the model presented by J. Merrick Jr. (2001) to estimate both the default recovery rates and the im- plied default probabilities of the Argentinean Sovereign Bonds during the crisis which took place in December 2001. Between October 19th and December 24th 2001, the average...