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Modeling Sovereign Yield Spreads: A Case Study of Russian DebtsDarrell Duffieaffiliation not provided to SSRN Lasse Heje PedersenNew York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER) Kenneth J. SingletonStanford 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 working papers seriesDate posted: November 3, 2008Suggested CitationContact Information
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