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...
| Autore principale: | Spackman, Carolyne |
|---|---|
| Altri autori: | Singh, Manmohan |
| Natura: | Periodico |
| Lingua: | English |
| Pubblicazione: |
Washington, D.C. :
International Monetary Fund,
2009.
|
| Serie: | IMF Working Papers; Working Paper ;
No. 2009/062 |
| Accesso online: | Full text available on IMF |
Documenti analoghi
-
CDS Spreads in European Periphery : Some Technical Issues to Consider /
di: Singh, Manmohan
Pubblicazione: (2012) -
Sovereign CDS Spreads in Europe : The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers /
di: Heinz, Frigyes
Pubblicazione: (2014) -
The Pricing of Credit Default Swaps During Distress /
di: Singh, Manmohan
Pubblicazione: (2006) -
Uses and Abuses of Moses
di: Ziolkowski -
No Acute Distress
di: Richter