Verfügbarkeit: Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises

Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises:

In reduced-form pricing models, it is usual to assume a fixed recovery rate to obtain the probability of default from credit default swap prices. An alternative credit risk measure is proposed here: the maximum recovery rate compatible with observed prices. The analysis of the recent debt crisis in...

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1. Verfasser:	Chan-Lau, Jorge A. (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 2003
Schriftenreihe:	IMF Working Papers Working Paper No. 03/106
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	In reduced-form pricing models, it is usual to assume a fixed recovery rate to obtain the probability of default from credit default swap prices. An alternative credit risk measure is proposed here: the maximum recovery rate compatible with observed prices. The analysis of the recent debt crisis in Argentina using this methodology shows that the correlation between the maximum recovery rate and implied default probabilities turns negative in advance of the credit event realization. This empirical finding suggests that the maximum recovery rate can be used for constructing early warning indicators of financial distress
Beschreibung:	1 Online-Ressource (20 p)
ISBN:	1451852916 9781451852912

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spelling	Chan-Lau, Jorge A. Verfasser aut Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises Chan-Lau, Jorge A Washington, D.C International Monetary Fund 2003 1 Online-Ressource (20 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 03/106 In reduced-form pricing models, it is usual to assume a fixed recovery rate to obtain the probability of default from credit default swap prices. An alternative credit risk measure is proposed here: the maximum recovery rate compatible with observed prices. The analysis of the recent debt crisis in Argentina using this methodology shows that the correlation between the maximum recovery rate and implied default probabilities turns negative in advance of the credit event realization. This empirical finding suggests that the maximum recovery rate can be used for constructing early warning indicators of financial distress Online-Ausg http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Chan-Lau, Jorge A. Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises
title	Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises
title_auth	Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises
title_exact_search	Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises
title_exact_search_txtP	Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises
title_full	Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises Chan-Lau, Jorge A
title_fullStr	Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises Chan-Lau, Jorge A
title_full_unstemmed	Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises Chan-Lau, Jorge A
title_short	Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises
title_sort	anticipating credit events using credit default swaps with an application to sovereign debt crises
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