50 Pages Posted: 3 Nov 2008
Date Written: September 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 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.
Suggested Citation: 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: https://ssrn.com/abstract=1294488