Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

By Darrell Duffie, Lasse Heje Pedersen, Kenneth J. Singleton. 2003

426 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/85ca69673d788c88764bfc099e2f5edb47732e1e

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Citations in the corpus

Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008, positive): “Then, following Duffie, Pedersen, and Singleton (2003) and adopting the usual “doubly stochastic” formulation of arrival of credit events (see, e.g., Lando (1998)), we can interpret the λQt and L Q t for pricing sovereign CDS contracts as: λ Q t = λQacc,t + λQfail,t + λQrest,t + λQrepud,t (2) LQt =…”
Credit risk modeling with affine processes (2007, methodology): “Because the approach presented here does not depend on the specific setting of a firm, it has also been applied to the valuation of defaultable sovereign debt, as in Duffie, Pedersen, and Singleton [2003] and Pag`es [2000].”
The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks (2004, background): “A few of these are Duffee (1999), He (2000), Duffie and Liu (2001), Collin-Dufresne and Solnik (2001), Duffie, Pedersen, and Singleton (2003), Huang and Huang (2003), Longstaff, Mithal, and Neis (2004), and Berndt, Douglas, Duffie, Ferguson, and Schranz (2004).”
Comparing Multifactor Models of the Term Structure (2002, neutral): “The problem with the Duffie et al (2002) AML estimator in the current context is that, as in the case of the QML estimator, it requires that a set of model yields be uniquely inverted to recover observable proxies for the states.”
Risk and Return in Fixed Income Arbitrage: Nickels in front of a Steamroller? (2006, positive): “…factors are likely to be sensitive to major financial market “events” such as a sudden flight to quality or to liquidity (similar to that which occurred after the Russian Sovereign default in 1998 that led to the LTCM hedge fund crisis; see Dunbar (2000) and Duffie, Pedersen, and Singleton (2003)).”
Jackknifing Bond Option Prices (2005, neutral): “To estimate parameters from discrete time observations, we use the approximate maximum likelihood (AML) method developed by Duffie, Pedersen, and Singleton (2003).”
Corporate Yield Spreads and Bond Liquidity (2007, positive): “Using either the bid-ask spread or the LOT estimate, the liquidity effect remains significant even after controlling for general yield spread factors such as credit rating, maturity, and the amount outstanding, the tax effect (Elton et al. (2001)), the equity volatility (Merton (1974), and Campbell ”
Model Specification and Risk Premia: Evidence from Futures Options (2007, methodology): “We refer to these conditional measures merely as skewness or kurtosis, omitting the conditional modifier.”
VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING (2007, neutral): “It has been shown in ([10]) that one can approximate p(xδ|x0, V0, Vδ) as the conditional density of xδ given Vs, evaluated at an outcome of the path of Vs that is linear between V0 and Vδ.”
Emerging Markets Finance (2003, background): “A second branch of research is cast in continuous-time, and focus on the likelihood of default and the determination of credit spreads in particular countries (see Kuilatilaka and Marcus, 1987; Claessens and Pennachi, 1996; Gibson and Sundaresan, 2001; Duffie et al., 2003).”