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Contractual terms and CDS pricing

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Author Info
Franck Packer
Haibin Zhu
Abstract

Contractual terms related to the definition of trigger events and deliverable obligations on single-name CDSs are priced into CDS spreads. Pricing of the differences in contract terms appears to have generally converged over time, although there still seems to be evidence of a degree of regional fragmentation.

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Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2005)
Issue (Month): (March)
Pages:
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Handle: RePEc:bis:bisqtr:0503h

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Related research
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Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

Cited by:
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  1. Benjamin Yibin Zhang & Hao Zhou & Haibin Zhu, 2005. "Explaining credit default swap spreads with the equity volatility and jump risks of individual firms," Finance and Economics Discussion Series 2005-63, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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This page was last updated on 2008-4-29.

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