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Modeling sovereign yield spreads: A case study of Russian debt

Duffie, Darrell; Pedersen, Lasse Heje; Singleton, Kenneth J. - 2001

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.(...)

Persistent link: https://www.econbiz.de/10005846839

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Duffie, Darrell; Pedersen, Lasse Heje; Singleton, Kenneth J. - In: Journal of Finance 58 (2003) 1, pp. 119-159

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...

Persistent link: https://www.econbiz.de/10005334404

Modeling sovereign yield spreads : a case study of Russian debt

Duffie, Darrell; Pedersen, Lasse Heje; Singleton, Kenneth J. - In: The journal of finance : the journal of the American … 58 (2003) 1, pp. 119-159

Persistent link: https://www.econbiz.de/10001737267

Modeling Sovereign Yield Spreads : A Case Study of Russian Debt

Duffie, Darrell - 2009

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...

Persistent link: https://www.econbiz.de/10012765885

Modeling Sovereign Yield Spreads : A Case Study of Russian Debt

Duffie, Darrell - 2008

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...

Persistent link: https://www.econbiz.de/10012768819

Modeling Sovereign Yield Spreads : A Case Study of Russian Debts

Duffie, Darrell - 2008

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...

Persistent link: https://www.econbiz.de/10012769027

Modeling Sovereign Yield Spreads : A Case Study of Russian Debt

Duffie, Darrell - 2001

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...

Persistent link: https://www.econbiz.de/10012742221

Modeling Sovereign Yield Spreads : A Case Study of Russian Debt

Duffie, Darrell - 2003

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...

Persistent link: https://www.econbiz.de/10012786733

How sovereign is sovereign credit risk?

Longstaff, Francis A.; Pan, Jun; Pedersen, Lasse Heje; … - In: American economic journal : a journal of the American … 3 (2011) 2, pp. 75-103

Persistent link: https://www.econbiz.de/10009234682

How sovereign is sovereign credit risk?

Longstaff, Francis A.; Pan, Jun; Pedersen, Lasse Heje; … - 2007

Persistent link: https://www.econbiz.de/10003616015

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