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...
| প্রধান লেখক: | |
|---|---|
| অন্যান্য লেখক: | |
| বিন্যাস: | পত্রিকা |
| ভাষা: | English |
| প্রকাশিত: |
Washington, D.C. :
International Monetary Fund,
2009.
|
| মালা: | IMF Working Papers; Working Paper ;
No. 2009/062 |
| অনলাইন ব্যবহার করুন: | Full text available on IMF |