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The Use (and Abuse) of CDS Spreads During Distress /
Credit Default Swap spreads have been used as a leading indicator of distress. Default probabilities can be extracted from CDS spreads, but during distress it is important to take account of the stochastic nature of recovery value. The recent episodes of Landbanski, WAMU and Lehman illustrate that u...
| Call Number: | Libro Electrónico |
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| Format: | Electronic eBook |
| Language: | Inglés |
| Published: |
Washington, D.C. :
International Monetary Fund,
2009.
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| Series: | IMF Working Papers ;
Working Paper no. 09/62. |
| Subjects: | |
| Online Access: | Texto completo |