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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...

Price of Risk

Price of Risk »

Source: Price of Risk : Recent Evidence From Large Financials

Volume/Issue: 2010/190

Series: IMF Working Papers

Author(s): Manmohan Singh , and Karim Youssef

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2010

ISBN: 9781455202249

Keywords: Price of risk, risk-neutral probabilities, real-world probabilities, cheapest-to-deliver bonds, distance-to-distress, JPoD, LCFIs, probabilities, probability, bond

Probability of default (PD) measures have been widely used in estimating potential losses of, and contagion among, large financial institutions. In a period of financial stress however, the existing methods to comp...

Overpricing in Emerging Market Credit-Default-Swap Contracts

Overpricing in Emerging Market Credit-Default-Swap Contracts »

Source: Overpricing in Emerging Market Credit-Default-Swap Contracts : Some Evidence from Recent Distress Cases

Volume/Issue: 2005/125

Series: IMF Working Papers

Author(s): Jochen Andritzky , and Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2005

ISBN: 9781451861440

Keywords: recovery value, cheapest-to-deliver bond, credit-default-swap contract, ISDA, bond, bonds, bond prices, present value, bond price, International Lending and Debt Problems

Since recent debt restructurings that constitute credit events have been more frequent than outright defaults, sovereign bond prices may not collapse during distress. In this case, the likely high recovery values a...

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

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

DOI: http://dx.doi.org/10.5089/9781451875836.001

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...

Price of Risk
			: Recent Evidence From Large Financials

Price of Risk : Recent Evidence From Large Financials »

Volume/Issue: 2010/190

Series: IMF Working Papers

Author(s): Manmohan Singh , and Karim Youssef

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2010

DOI: http://dx.doi.org/10.5089/9781455202249.001

ISBN: 9781455202249

Keywords: Price of risk, risk-neutral probabilities, real-world probabilities, cheapest-to-deliver bonds, distance-to-distress, JPoD, LCFIs, probabilities, probability, bond

Probability of default (PD) measures have been widely used in estimating potential losses of, and contagion among, large financial institutions. In a period of financial stress however, the existing methods to comp...

Overpricing in Emerging Market Credit-Default-Swap Contracts
			: Some Evidence from Recent Distress Cases

Overpricing in Emerging Market Credit-Default-Swap Contracts : Some Evidence from Recent Distress Cases »

Volume/Issue: 2005/125

Series: IMF Working Papers

Author(s): Jochen Andritzky , and Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2005

DOI: http://dx.doi.org/10.5089/9781451861440.001

ISBN: 9781451861440

Keywords: recovery value, cheapest-to-deliver bond, credit-default-swap contract, ISDA, bond, bonds, bond prices, present value, bond price, International Lending and Debt Problems

Since recent debt restructurings that constitute credit events have been more frequent than outright defaults, sovereign bond prices may not collapse during distress. In this case, the likely high recovery values a...