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...