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The Use (and Abuse) of CDS Spreads During Distress

The Use (and Abuse) of CDS Spreads During Distress »

Source: The Use (and Abuse) of CDS Spreads During Distress

Volume/Issue: 2009/62

Series: IMF Working Papers

Author(s): Carolyne Spackman , and Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2009

ISBN: 9781451872095

Keywords: CDS spreads during distress, stochastic recovery rate, probability of default, and financial institutions., bond, bonds, probability, probabilities,

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 o...

Sovereign CDS Spreads in Europe: The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers

Sovereign CDS Spreads in Europe: The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers »

Source: Sovereign CDS Spreads in Europe : The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers

Volume/Issue: 2014/17

Series: IMF Working Papers

Author(s): Frigyes Heinz , and Yan Sun

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 28 January 2014

ISBN: 9781484393017

Keywords: CESEE countries, financial spillovers, CDS spreads, debt threshold, current account, public debt, current account balance, Financial Markets and the Macroeconomy, Asset Pricing,

By analysing data from January 2007 to December 2012 in a panel GLS error correction framework we find that European countries' sovereign CDS spreads are largely driven by global investor sentiment, macroeconomic f...

CDS Spreads in European Periphery

CDS Spreads in European Periphery »

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

Volume/Issue: 2012/77

Series: IMF Working Papers

Author(s): Manmohan Singh , and Mohsan Bilal

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2012

ISBN: 9781475502299

Keywords: CDS spreads, peripheral Europe, stochastic recovery rate, probability of default, collateral use in OTC derivatives, price of risk, otc, bonds, derivative, bond

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 model...

The Use (and Abuse) of CDS Spreads During Distress

The Use (and Abuse) of CDS Spreads During Distress »

Volume/Issue: 2009/62

Series: IMF Working Papers

Author(s): Carolyne Spackman , and Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2009

DOI: http://dx.doi.org/10.5089/9781451872095.001

ISBN: 9781451872095

Keywords: CDS spreads during distress, stochastic recovery rate, probability of default, and financial institutions., bond, bonds, probability, probabilities,

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 o...

Sovereign CDS Spreads in Europe
			: The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers

Sovereign CDS Spreads in Europe : The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers »

Volume/Issue: 2014/17

Series: IMF Working Papers

Author(s): Frigyes Heinz , and Yan Sun

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 28 January 2014

DOI: http://dx.doi.org/10.5089/9781484393017.001

ISBN: 9781484393017

Keywords: CESEE countries, financial spillovers, CDS spreads, debt threshold, current account, public debt, current account balance, Financial Markets and the Macroeconomy, Asset Pricing,

By analysing data from January 2007 to December 2012 in a panel GLS error correction framework we find that European countries' sovereign CDS spreads are largely driven by global investor sentiment, macroeconomic f...

CDS Spreads in European Periphery
			: Some Technical Issues to Consider

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

Volume/Issue: 2012/77

Series: IMF Working Papers

Author(s): Manmohan Singh , and Mohsan Bilal

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2012

DOI: http://dx.doi.org/10.5089/9781475502299.001

ISBN: 9781475502299

Keywords: CDS spreads, peripheral Europe, stochastic recovery rate, probability of default, collateral use in OTC derivatives, price of risk, otc, bonds, derivative, bond

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 model...