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The pricing of credit default swaps during distress

Author: Jochen R Andritzky; Manmohan Singh
Publisher: [Washington, D.C.] : International Monetary Fund, ©2006.
Series: IMF working paper, WP/06/254.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Database:WorldCat
Summary:
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 risk spreads are assumed to be the product of default risk and loss rate, CDS are par instruments, and their spreads reflect the partial recovery of the delivered bond's face value. This paper addresses  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Andritzky, Jochen R.
Pricing of credit default swaps during distress.
Washington, D.C. : International Monetary Fund, Monetary and Capital Markets Dept., ©2006
(OCoLC)124094048
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jochen R Andritzky; Manmohan Singh
ISBN: 1283515091 9781283515092
OCLC Number: 698585633
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (23 pages).
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: IMF working paper, WP/06/254.
Responsibility: prepared by Jochen Andritzky and Manmohan Singh.

Abstract:

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 risk spreads are assumed to be the product of default risk and loss rate, CDS are par instruments, and their spreads reflect the partial recovery of the delivered bond's face value. This paper addresses the implications of the difference between bond and CDS spreads and shows the extent to which the recovery assumption matters for determining CDS spreads. A no-arbitrage argument is applied to extract recovery rates from CDS and bond markets, using data from Brazil's distress in 2002-03. Results are related to the observation that preemptive restructurings are now more common than straight defaults in sovereign bond markets and that this leads to a decoupling of CDS and bond spreads.

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