Abstract

http://ssrn.com/abstract=1294488
 
 

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Modeling Sovereign Yield Spreads: A Case Study of Russian Debts


Darrell Duffie


Stanford University

Lasse Heje Pedersen


New York University (NYU); Copenhagen Business School; AQR Capital Management, LLC; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER)

Kenneth J. Singleton


Stanford University-Graduate School of Business

September 2001

NYU Working Paper No. FIN-01-021

Abstract:     
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 the Russian yield spread, the yield differentialacross different Russian bonds, and the implications for market integration, relative liquidity, relative expected recovery rates, and implied expectations of different default scenarios.

Number of Pages in PDF File: 50

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Date posted: November 3, 2008  

Suggested Citation

Duffie, Darrell and Pedersen, Lasse Heje and Singleton, Kenneth J., Modeling Sovereign Yield Spreads: A Case Study of Russian Debts (September 2001). NYU Working Paper No. FIN-01-021. Available at SSRN: http://ssrn.com/abstract=1294488

Contact Information

Darrell Duffie (Contact Author)
Stanford University
Stanford, CA 94305
United States
Lasse Heje Pedersen
New York University (NYU) ( email )
Stern School of Business, Dept. of Finance
44 West 4th St, Suite 9-190
New York, NY 10003-711
United States
HOME PAGE: http://pages.stern.nyu.edu/~lpederse/
Copenhagen Business School ( email )
Solbjerg Plads 3
Frederiksberg C, DK - 2000
Denmark
AQR Capital Management, LLC ( email )
Greenwich, CT
United States
Centre for Economic Policy Research (CEPR) ( email )
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Kenneth J. Singleton
Stanford University-Graduate School of Business ( email )
Knight Management Center
655 Knight Way
Stanford, CA 94305-7298
United States
650-723-5753 (Phone)
HOME PAGE: http://www.stanford.edu/~kenneths
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