Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
构建了一个同时考虑违约、重组和流动性风险的主权债务定价模型，并用俄罗斯美元债券数据估计模型，分析了收益率利差的决定因素、不同债券间的收益率差异及其对市场整合、相对流动性和预期回收率的含义。
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 differential across different Russian bonds, and the implications for market integration, relative liquidity, relative expected recovery rates, and implied expectations of different default scenarios.