CDS Spreads in European Periphery : Some Technical Issues to Consider /

This paper looks at some technical issues when using CDS data, and if these are incorporated, the analysis or regression results are likely to benefit. The paper endorses the use of stochastic recovery in CDS models when estimating probability of default (PD) and suggests that stochastic recovery ma...

وصف كامل

التفاصيل البيبلوغرافية
المؤلف الرئيسي: Singh, Manmohan
مؤلفون آخرون: Bilal, Mohsan
التنسيق: دورية
اللغة:English
منشور في: Washington, D.C. : International Monetary Fund, 2012.
سلاسل:IMF Working Papers; Working Paper ; No. 2012/077
الوصول للمادة أونلاين:Full text available on IMF