The Pricing of Credit Default Swaps During Distress:
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...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2006
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 06/254 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | 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 instruments, and their spreads reflect the partial recovery of the delivered bond''s face value. This paper addresses the implications of the difference between bond and CDS spreads and shows the extent to which the recovery assumption matters for determining CDS spreads. A no-arbitrage argument is applied to extract recovery rates from CDS and bond markets, using data from Brazil''s distress in 2002-03. Results are related to the observation that preemptive restructurings are now more common than straight defaults in sovereign bond markets and that this leads to a decoupling of CDS and bond spreads |
| Beschreibung: | 1 Online-Ressource (23 p) |
| ISBN: | 1451865147 9781451865141 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:23Z |
| indexdate | 2024-07-10T09:35:31Z |
| institution | BVB |
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| series2 | IMF Working Papers |
| spelling | Singh, Manmohan Verfasser aut The Pricing of Credit Default Swaps During Distress Singh, Manmohan Washington, D.C International Monetary Fund 2006 1 Online-Ressource (23 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 06/254 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 instruments, and their spreads reflect the partial recovery of the delivered bond''s face value. This paper addresses the implications of the difference between bond and CDS spreads and shows the extent to which the recovery assumption matters for determining CDS spreads. A no-arbitrage argument is applied to extract recovery rates from CDS and bond markets, using data from Brazil''s distress in 2002-03. Results are related to the observation that preemptive restructurings are now more common than straight defaults in sovereign bond markets and that this leads to a decoupling of CDS and bond spreads Online-Ausg Andritzky, Jochen R. Sonstige oth http://elibrary.imf.org/view/IMF001/07231-9781451865141/07231-9781451865141/07231-9781451865141.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Singh, Manmohan The Pricing of Credit Default Swaps During Distress |
| title | The Pricing of Credit Default Swaps During Distress |
| title_auth | The Pricing of Credit Default Swaps During Distress |
| title_exact_search | The Pricing of Credit Default Swaps During Distress |
| title_exact_search_txtP | The Pricing of Credit Default Swaps During Distress |
| title_full | The Pricing of Credit Default Swaps During Distress Singh, Manmohan |
| title_fullStr | The Pricing of Credit Default Swaps During Distress Singh, Manmohan |
| title_full_unstemmed | The Pricing of Credit Default Swaps During Distress Singh, Manmohan |
| title_short | The Pricing of Credit Default Swaps During Distress |
| title_sort | the pricing of credit default swaps during distress |
| url | http://elibrary.imf.org/view/IMF001/07231-9781451865141/07231-9781451865141/07231-9781451865141.xml |
| work_keys_str_mv | AT singhmanmohan thepricingofcreditdefaultswapsduringdistress AT andritzkyjochenr thepricingofcreditdefaultswapsduringdistress |