This paper assesses, under empirically grounded macroeconomic conditions, whether GDP-linked bonds can meaningfully reduce extreme public debt outcomes in Sub-Saharan African economies, where volatility, fiscal dominance, and market incompleteness are structurally more pronounced than in advanced economies. Using a panel of 15 countries, we show that, although the magnitude of the gains depends on the indexation formula, GDPlinked bonds significantly compress the upper tail of the public-debt distribution, leading to sizable reductions at the 99th percentile under severe macroeconomic shocks. These results remain robust, as GDP-linked bonds outperform conventional bonds even when risk premia of 100 and 200 basis points are applied. We further compare two alternative indexation schemes-coupon-indexed bonds and nominally indexed bonds-and find that coupon indexation delivers systematically larger stabilizing gains. Finally, we propose a theoretical framework to price GDP-linked bonds and derive their risk premia, explicitly incorporating uncertainty risks faced by issuing countries. […]