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Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises1

Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises1 »

Source: Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises

Volume/Issue: 2003/106

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2003

ISBN: 9781451852912

Keywords: Credit default swaps, maximum recovery rate, default probability, bond, probability, probabilities, credit derivatives, correlation, Financial Economics: General, Credit defaults swaps,

In reduced-form pricing models, it is usual to assume a fixed recovery rate to obtain the probability of default from credit default swap prices. An alternative credit risk measure is proposed here: the maximum rec...

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...

Are Credit Default Swaps Spreads High in Emerging Markets

Are Credit Default Swaps Spreads High in Emerging Markets »

Source: Are Credit Default Swaps Spreads High in Emerging Markets : An Alternative Methodology for Proxying Recovery Value

Volume/Issue: 2003/242

Series: IMF Working Papers

Author(s): Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2003

ISBN: 9781451875836

Keywords: recovery value, credit default swaps, cheapest-to-deliver bonds, bonds, bond, probability, correlation, probability of default,

In times of distress when a country loses access to markets, there is evidence that credit default swap (CDS) spreads are a leading indicator for sovereign risk than the EMBI+ sub-index for the country. However, it...

Financial Instruments to Hedge Commodity Price Risk for Developing Countries

Financial Instruments to Hedge Commodity Price Risk for Developing Countries »

Source: Financial Instruments to Hedge Commodity Price Risk for Developing Countries

Volume/Issue: 2008/6

Series: IMF Working Papers

Author(s): Yinqiu Lu , and Salih Neftci

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2008

ISBN: 9781451868685

Keywords: Developing economies, commodity risk, debt instrument, credit default swaps, hedging, commodity prices, hedge, bond,

Many developing economies are heavily exposed to commodity markets, leaving them vulnerable to the vagaries of international commodity prices. This paper examines the use of commodity options-including plain vanill...

The Pricing of Credit Default Swaps During Distress

The Pricing of Credit Default Swaps During Distress »

Source: The Pricing of Credit Default Swaps During Distress

Volume/Issue: 2006/254

Series: IMF Working Papers

Author(s): Manmohan Singh , and Jochen Andritzky

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2006

ISBN: 9781451865141

Keywords: Credit default swaps, recovery value, default risk, bond, bonds, arbitrage, bond market, bond spreads, International Lending and Debt Problems,

Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose...

Excerpt: The Future of China's Bond Market

Excerpt: The Future of China's Bond Market »

Series: Miscellaneous Publication (Other)

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 April 2019

Language: French

DOI: http://dx.doi.org/10.5089/UTDFAEX.073

ISBN: UTDFAEX

Keywords: Market interest rates, Open market operations, Bond markets, Credit default swap, Financial sector development, Exchange rate markets, bond market, people 's bank of China, people 's bank, SOEs

China's bond market is destined to play an increasingly important role, both at home and abroad. And the inclusion of the country's bonds in global indexes will be a milestone for its financial market integration,...

Excerpt: The Future of China's Bond Market

Excerpt: The Future of China's Bond Market »

Series: Miscellaneous Publication (Other)

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 April 2019

Language: Chinese

DOI: http://dx.doi.org/10.5089/UTDCAEX.073

ISBN: UTDCAEX

Keywords: Market interest rates, Open market operations, Bond markets, Credit default swap, Financial sector development, Exchange rate markets, bond market, people 's bank of China, people 's bank, SOEs

China's bond market is destined to play an increasingly important role, both at home and abroad. And the inclusion of the country's bonds in global indexes will be a milestone for its financial market integration,...

Excerpt: The Future of China's Bond Market

Excerpt: The Future of China's Bond Market »

Series: Miscellaneous Publication (Other)

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 April 2019

Language: Russian

DOI: http://dx.doi.org/10.5089/UTDRAEX.073

ISBN: UTDRAEX

Keywords: Market interest rates, Open market operations, Bond markets, Credit default swap, Financial sector development, Exchange rate markets, bond market, people 's bank of China, people 's bank, SOEs

China's bond market is destined to play an increasingly important role, both at home and abroad. And the inclusion of the country's bonds in global indexes will be a milestone for its financial market integration,...

Excerpt: The Future of China's Bond Market

Excerpt: The Future of China's Bond Market »

Series: Miscellaneous Publication (Other)

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 April 2019

Language: Arabic

DOI: http://dx.doi.org/10.5089/UTDAAEX.073

ISBN: UTDAAEX

Keywords: Market interest rates, Open market operations, Bond markets, Credit default swap, Financial sector development, Exchange rate markets, bond market, people 's bank of China, people 's bank, SOEs

China's bond market is destined to play an increasingly important role, both at home and abroad. And the inclusion of the country's bonds in global indexes will be a milestone for its financial market integration,...

Excerpt: The Future of China's Bond Market

Excerpt: The Future of China's Bond Market »

Series: Miscellaneous Publication (Other)

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 March 2019

DOI: http://dx.doi.org/10.5089/UTDEAEX.073

ISBN: UTDEAEX

Keywords: Market interest rates, Open market operations, Bond markets, Credit default swap, Financial sector development, Exchange rate markets, bond market;people 's bank of China;people 's bank;SOEs;renminbi

China's bond market is destined to play an increasingly important role, both at home and abroad. And the inclusion of the country's bonds in global indexes will be a milestone for its financial market integration,...