Sovereign default risk valuation
Uiterlijk 29 november in huis
An extension into credit default swap markets explains why bond and CDS spreads diverge during distress.
This survey of the sovereign bond market provides investors with a useful toolkit for analyzing sovereign bonds and foreseeing trends in the international financial architecture.
Past cycles of sovereign lending and default in emerging markets suggest that debt crises will recur at some point. In addressing debt crises it has proven helpful to distinguish between situations of illiquidity and insolvency. Solutions range from a voluntary debt swap to a soft or hard restructuring. This book shows why investors should reckon with similar credit events in the future.
Insights gained from recent restructurings inspire the design of a valuation model for sovereign bonds. Using the distinction between hard and soft restructurings, the model draws parallels to the concepts of face value and market value recovery. An extension into credit default swap markets explains why bond and CDS spreads diverge during distress.
This survey of the sovereign bond market provides investors with a useful toolkit for analyzing sovereign bonds and foreseeing trends in the international financial architecture. The result should be a better understanding of debt crises and more deliberate investment decisions.
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Taal: en
Bindwijze: Paperback
Oorspronkelijke releasedatum: 16 oktober 2006
Aantal pagina's: 251
Illustraties: Nee
Hoofdauteur: Jochen Andritzky
Hoofduitgeverij: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Editie: 2006 ed.
Extra groot lettertype: Nee
Product breedte: 152 mm
Product hoogte: 19 mm
Product lengte: 235 mm
Studieboek: Ja
Verpakking breedte: 152 mm
Verpakking hoogte: 19 mm
Verpakking lengte: 235 mm
Verpakkingsgewicht: 408 g
EAN: 9783540374480