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...

This paper explores the structural differences and relative goodness-of-fits of affine term structure models (ATSMs). Within the family of ATSMs there is a trade-off between flexibility in modeling the conditional correlations and volatilities of the risk factors. This trade-off is formalized by...

This paper explores the nature of default arrival and recovery implicit in the term structures of sovereign "CDS" spreads. We argue that term structures of spreads reveal not only the arrival rates of credit events <formula format="inline"><file name="jofi_1399_mu1.gif" type="gif" /></formula>, but also the loss rates given credit events. Applying our framework to Mexico,...

type="main" <title type="main">ABSTRACT</title> <p>This paper quantifies how variation in economic activity and inflation in the United States influences the market prices of level, slope, and curvature risks in Treasury markets. We develop a novel arbitrage-free dynamic term structure model in which bond investment...</p>

This paper studies "predatory trading", trading that induces and/or exploits the need of other investors to reduce their positions. We show that if one trader needs to sell, others also sell and subsequently buy back the asset. This leads to price overshooting and a reduced liquidation value for...