Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds
通过构建考虑债务价值凹性、债务条款和第三方担保的定价模型，从墨西哥布雷迪债券价格中提取偿债能力指标，发现该指标与未经调整的债券价格表现不同，并能较准确定价其他墨西哥债券。
Market prices of developing country debt reflect investors' views of country repayment capacity as well as other debt-specific factors. To extract a measure of repayment capacity from debt prices, adjustments need to be made to account for: debt values being a concave function of repayment capacity; the specific terms of the debt agreement; and the presence of third-party guarantees. This paper derives a measure of repayment capacity by constructing a pricing model that takes these factors into account. Applying the model to Brady bonds issued by Mexico, we find that estimated repayment capacity often performs differently from the unadjusted bond prices. We demonstrate that other Mexican bonds can be priced fairly accurately on the basis of this repayment capacity measure.