Distressed Sovereign Models
Anyone have one or come across a resource? looking for a more fundamental on taking into account haircuts, npv, coupon changes/extensions vs an econometrics one. thanks
Anyone have one or come across a resource? looking for a more fundamental on taking into account haircuts, npv, coupon changes/extensions vs an econometrics one. thanks
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also interested
have you found any resources?
There is not much even if you have access to the sell side. Partly bc there is no agreed upon “methodology.” I recommend looking for a few of the relevant IMF papers that discuss the intuition behind how to go about it...there are also some publicly available presentations from distressed sovereigns that hint at the modeling behind the output.
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