Debt Dilution and Sovereign Default Risk

Debt Dilution and Sovereign Default Risk
We propose a modification to a baseline sovereign default framework that allows us to quantify the importance of debt dilution in accounting for the level and volatility of the interest rate spread paid by sovereigns. We measure the effects of debt dilution by comparing the simulations of the baseline model (with debt dilution) with the ones of... READ MORE...

Publication date: March 2011
ISBN 9781455227099
$18.00

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