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Market Signals and the Cost of Credit Risk Protection

Market Signals and the Cost of Credit Risk Protection »

Source: Market Signals and the Cost of Credit Risk Protection : An Analysis of CDS Settlement Auctions

Volume/Issue: 2014/239

Series: IMF Working Papers

Author(s): Luisa Zanforlin , and Nobuyuki Kanazawa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 December 2014

ISBN: 9781498389471

Keywords: Credit Default Swaps, Market signals, Derivative Markets, cds, default, market, default probabilities, General, Derivative Markets.,

We study the link between the probability of default implied by Credit Default Swaps (CDS) spreads and the final prices of the defaulted bonds as established at the CDS settlement auctions. We observe that the post...

Probabilities of Default and the Market Price of Risk in a Distressed Economy

Probabilities of Default and the Market Price of Risk in a Distressed Economy »

Source: Probabilities of Default and the Market Price of Risk in a Distressed Economy

Volume/Issue: 2011/75

Series: IMF Working Papers

Author(s): Miguel Segoviano Basurto , and Raphael Espinoza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455227044

Keywords: Price of risk, CDS, risk-neutral probability, probability, probabilities, equation, probability of default, conditional expectation,

We propose an original method to estimate the market price of risk under stress, which is needed to correct for risk aversion the CDS-implied probabilities of distress. The method is based, for simplicity, on a one...

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...

The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions1

The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions1 »

Source: The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions

Volume/Issue: 2006/139

Series: IMF Working Papers

Author(s): Li Ong , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2006

ISBN: 9781451863994

Keywords: CDO, CDS, credit derivatives, credit risk transfer, structured credit products, credit risk, hedge, financial institutions, risk transfer, General Financial Markets: Government Policy and Regulation,

The increasing ability to trade credit risk in financial markets has facilitated its dispersion across the financial and other sectors. However, specific risks attached to credit risk transfer (CRT) instruments in...

A New Risk Indicator and Stress Testing Tool

A New Risk Indicator and Stress Testing Tool »

Source: A New Risk Indicator and Stress Testing Tool : A Multifactor Nth-to-Default CDS Basket

Volume/Issue: 2006/105

Series: IMF Working Papers

Author(s): Renzo Avesani , Jing Li , and Antonio Garcia Pascual

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

ISBN: 9781451863659

Keywords: market indicators, credit default swap (CDS), collateralized debt obligation (CDO), large complex financial institutions (LCFIs), probability, correlation, probabilities, correlations, probability of default,

This paper generalizes a market-based indicator for financial sector surveillance using a multifactor latent structure in the determination of the default probabilities of an nth-todefault credit default swap (CDS)...

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...

Market Signals and the Cost of Credit Risk Protection
			: An Analysis of CDS Settlement Auctions

Market Signals and the Cost of Credit Risk Protection : An Analysis of CDS Settlement Auctions »

Volume/Issue: 2014/239

Series: IMF Working Papers

Author(s): Luisa Zanforlin , and Nobuyuki Kanazawa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 December 2014

DOI: http://dx.doi.org/10.5089/9781498389471.001

ISBN: 9781498389471

Keywords: Credit Default Swaps, Market signals, Derivative Markets, cds, default, market, default probabilities, General, Derivative Markets.,

We study the link between the probability of default implied by Credit Default Swaps (CDS) spreads and the final prices of the defaulted bonds as established at the CDS settlement auctions. We observe that the post...

Probabilities of Default and the Market Price of Risk in a Distressed Economy

Probabilities of Default and the Market Price of Risk in a Distressed Economy »

Volume/Issue: 2011/75

Series: IMF Working Papers

Author(s): Miguel Segoviano Basurto , and Raphael Espinoza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

DOI: http://dx.doi.org/10.5089/9781455227044.001

ISBN: 9781455227044

Keywords: Price of risk, CDS, risk-neutral probability, probability, probabilities, equation, probability of default, conditional expectation,

We propose an original method to estimate the market price of risk under stress, which is needed to correct for risk aversion the CDS-implied probabilities of distress. The method is based, for simplicity, on a one...

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...