Detailed case studies of debt defaults by Russia, Ukraine, Pakistan, Ecuador, Moldova, and
Uruguay, framed by a comprehensive discussion of the history, economic theory, legal …

We calculate investor losses (“haircuts”) and recovery values in recent debt restructurings in
Russia, Ukraine, Pakistan, Ecuador, Argentina, and Uruguay. Haircuts are computed as the …

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 …

Credit default swaps (CDS) provide the buyer with insurance against certain types of credit
events by entitling him to exchange any of the bonds permitted as deliverable against their …

Abstract “Unfair” sovereign debts, used, for instance, to suppress a rebellion, may be
declared “odious” and not be repaid once the former regime is overthrown. Bondholders …

Emerging countries that have defaulted on their debt repayment obligations in the past are
more likely to default again in the future than are non-defaulters even with the same debt-to …

In some credit portfolios the number of observed defaults is always very limited. This is
particularly evident in the Loss Given Default (LGD) estimation based on the new definition …

This paper proposes a methodology for estimating loss given default (LGD) that accounts for
small default sample sizes. Regulatory guidelines for estimating LGD state that it is essential …

Emerging countries that have defaulted on their debt repayment obligations in the past are
more likely to default again in the future than are non&defaulters with the same …

We consider some pricing and risk management issues related to defaultable bonds, in the
context of sovereign debt default and restructuring. Standard recovery schemes such as …