Sovereign Default Risk Valuation Implications of Debt Crises and Bon
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
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Founding Editors: M. Beckmann H.P. Künzi Managing Editors: Prof. Dr. G. Fandel Fachbereich Wirtschaftswissenschaften Fernuniversität Hagen Feithstr. 140/AVZ II, 58084 Hagen, Germany Prof. Dr. W. Trockel Institut für Mathematische Wirtschaftsforschung (IMW) Universität Bielefeld Universitätsstr. 25, 33615 Bielefeld, Germany Editorial Board: A. Basile, A. Drexl, H. Dawid, K. Inderfurth, W. Kürsten, U. Schittko
Jochen Andritzky
Sovereign Default Risk Valuation Implications of Debt Crises and Bond Restructurings
With 43 Figures and 49 Tables
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Jochen Andritzky 6432 Divine St McLean, VA 22101 USA [email protected]
ISBN-10 3-540-37448-5 Springer Berlin Heidelberg New York ISBN-13 978-3-540-37448-0 Springer Berlin Heidelberg New York This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the German Copyright Law. Springer is a part of Springer Science+Business Media springeronline.com © Springer Berlin Heidelberg 2006 The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting: Camera ready by author Cover: Erich Kirchner, Heidelberg Production: LE-TEX, Jelonek, Schmidt & Vöckler GbR, Leipzig SPIN 11818731
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Preface
When politics meet economics, history has taught that standard concepts of welfare maximization and efficiency take a back seat. And if financial theory by itself were to guide investment decisions, empirical finance could not produce new findings. Combine politics and economics, theoretical and empirical finance, and add some spice from dynamically developing markets, and you end up valuing emerging market sovereign bonds. The monograph at hand approaches this challenge. I am grateful for all the support and advice that I received during this ambitious project. First let me thank my advisors at the University of St. Gallen, Klaus Spremann and Paul S¨ oderlind, who offered me the opportunity to join the Swiss Institute for Banking and Finance (s/bf) for fruitful years of research and who supported my academic progress. I also thank Kenneth Kletzer and Michael Dooley of the University of California, Santa Cruz, for hosting me as a visiting scholar and providing straightforward advice on my work. My research abroad was made possible through the sponsorship of the Swiss National Fund, for which I am most grateful. As with most academic
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