Front Matter Page
Institute for Capacity Development
Contents
I. Introduction
II. Brief review of CDS contracts and how they are priced
A. Pricing CDS contracts
B. Evaluating Default Probabilities: Reduced-Form Models
III. Data and Empirical Methodology
A. Credit Risk Protection Payments and Implied Default Probabilities
B. Explaining Auction Outcomes
C. Discussion of results
Auction behavior
IV. Conclusions
References
Tables
1. Determinants of Excess Spreads 1 - Baseline Regressions
2. Determinants of Excess Spreads 2 - Additional Controls
3. Estimations Using Five-year Ahead Implied Probabilities of Default
4. Estimations Using Reduced Form Probability Structures
Figures
1. Recovery Rates at CDS Settlement Auctions
2. CDS Spread and Recovery Rate
3. Implied Default Probabilities One-year Ahead
4. Implied Default Probabilities Estimated Using Average and Actual Recoveries
Appendices
I. Definitions of Variables
II. Summary Statistics and Selected Correlations