Series: IMF Working Papers
Author(s): Manmohan Singh , and Mohsan Bilal
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 March 2012
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...