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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...

Inflation, Debt, and Default in a Monetary Union

Inflation, Debt, and Default in a Monetary Union »

Source: Inflation, Debt, and Default in a Monetary Union

Volume/Issue: 2000/179

Series: IMF Working Papers

Author(s): Samir Jahjah

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2000

ISBN: 9781451859027

Keywords: Public debt, monetary policy, monetary union, default, central bank

Depending on the preferences of the central bank, countries in a monetary union tend to accumulate less debt. This reduces the need for fiscal criteria such as debt ceilings. In a monetary union with an independent...

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...

Investors' Risk Appetite and Global Financial Market Conditions

Investors' Risk Appetite and Global Financial Market Conditions »

Source: Investors' Risk Appetite and Global Financial Market Conditions

Volume/Issue: 2008/85

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2008

ISBN: 9781451869460

Keywords: volatility risk, default risk, risk appetite, financial markets, bond, global financial markets, bond spreads, financial market,

A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. The model ident...

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance »

Source: Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

Volume/Issue: 2006/104

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

ISBN: 9781451863642

Keywords: Default probability, security prices, financial surveillance, probabilities, probability, bond, equation, credit derivatives,

This paper reviews a number of different techniques for estimating default probabilities from the prices of publicly traded securities. These techniques are useful for assessing credit exposure, systemic risk, and...

International Transmission of Bank and Corporate Distress

International Transmission of Bank and Corporate Distress »

Source: International Transmission of Bank and Corporate Distress

Volume/Issue: 2010/124

Series: IMF Working Papers

Author(s): Papa N'Diaye , Dale Gray , Natalia Tamirisa , Hiroko Oura , and Qianying Chen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2010

ISBN: 9781455200832

Keywords: bank, corporate, distress, GVAR, financial, international, probability, bank distress, probabilities, bank default

The paper evaluates how increases in banks' and nonfinancial corporates' default risk are transmitted in the global economy, using in a vector autoregression model for 30 advanced and emerging economies for the per...

Predicting Sovereign Debt Crises

Predicting Sovereign Debt Crises »

Source: Predicting Sovereign Debt Crises

Volume/Issue: 2003/221

Series: IMF Working Papers

Author(s): Axel Schimmelpfennig , Nouriel Roubini , and Paolo Manasse

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2003

ISBN: 9781451875256

Keywords: Early-warning system, sovereign debt crises, sovereign default, debt crisis, external debt, debt crises, short-term debt, currency crisis, General Outlook and Conditions, Forecasting and Other Model Applications

We develop an early-warning model of sovereign debt crises. A country is defined to be in a debt crisis if it is classified as being in default by Standard & Poor's, or if it has access to nonconcessional IMF finan...

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...

Inflation, Debt, and Default in a Monetary Union

Inflation, Debt, and Default in a Monetary Union »

Volume/Issue: 2000/179

Series: IMF Working Papers

Author(s): Samir Jahjah

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2000

DOI: http://dx.doi.org/10.5089/9781451859027.001

ISBN: 9781451859027

Keywords: Public debt, monetary policy, monetary union, default, central bank

Depending on the preferences of the central bank, countries in a monetary union tend to accumulate less debt. This reduces the need for fiscal criteria such as debt ceilings. In a monetary union with an independent...

The Pricing of Credit Default Swaps During Distress

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

DOI: http://dx.doi.org/10.5089/9781451865141.001

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...