The Pricing of Credit Default Swaps During Distress /

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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 par value. Unlike bonds, whose risk spreads are assumed to be the product of default risk and loss rate, CDS are par...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Singh, Manmohan
Autor Corporativo: International Monetary Fund
Otros Autores: Simha, Manamohana, Andritzky, Jochen R.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Washington, D.C. : International Monetary Fund, 2006.
Colección:IMF Working Papers ; Working Paper no. 06/254.
Temas:
Default (Finance)
Swaps (Finance)
Défaillance (Finances)
Swaps (Finances)
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Contents
  • I. INTRODUCTION
  • II. CDS VALUATION AND THE BASIS
  • III. THE ROLE OF RECOVERY
  • IV. DATA ANALYSIS
  • V. IMPLIED RECOVERY VALUES UNDER NO ARBITRAGE
  • VI. IMPLIED RECOVERY VALUES UNDER NO ARBITRAGE WITH CTD
  • VII. CONCLUSIONS
  • REFERENCES

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