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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...

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...

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...