The Pricing of Credit Default Swaps During Distress
Download full text from publisher
References listed on IDEAS
- Frank X. Zhang, 2003. "What did the credit market expect of Argentina default? Evidence from default swap data," Finance and Economics Discussion Series 2003-25, Board of Governors of the Federal Reserve System (U.S.).
- Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang, 2002. "Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?," FAME Research Paper Series rp65, International Center for Financial Asset Management and Engineering.
- Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2005.
"Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market,"
Journal of Finance,
American Finance Association, vol. 60(5), pages 2213-2253, October.
- Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market," NBER Working Papers 10418, National Bureau of Economic Research, Inc.
- Franck Packer & Haibin Zhu, 2005. "Contractual terms and CDS pricing," BIS Quarterly Review, Bank for International Settlements, March.
- Amadou N Sy & Andrea Pescatori, 2004. "Debt Crises and the Development of International Capital Markets," IMF Working Papers 04/44, International Monetary Fund.
- Frank Packer & Chamaree Suthiphongchai, 2003. "Sovereign credit default swaps," BIS Quarterly Review, Bank for International Settlements, December.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Bilal Kargi, 2014.
"Credit Default Swap (Cds) Spreads: The Analysis Of Time Series For The Interaction With The Interest Rates And The Growth In Turkish Economy,"
Montenegrin Journal of Economics,
Economic Laboratory for Transition Research (ELIT), vol. 10(1), pages 59-66.
- Kargi, Bilal, 2014. "Credit Default Swap (CDS) Spreads: The Analysis of Time Series for The Integration with The Interest Rates and The Growth in Turkish Economy," EconStor Open Access Articles, ZBW - German National Library of Economics, pages 59-66.
- KARGI, Bilal, 2014. "Credit Default Swap (CDS) Spreads: The Analysis of Time Series for The Integration with The Interest Rates and The Growth in Turkish Economy," MPRA Paper 57380, University Library of Munich, Germany.
- Rahmi Erdem Aktug & Geraldo Vasconcellos & Youngsoo Bae, 2012. "The dynamics of sovereign credit default swap and bond markets: empirical evidence from the 2001 to 2007 period," Applied Economics Letters, Taylor & Francis Journals, vol. 19(3), pages 251-259, February.
- Christoph Trebesch & Michael G. Papaioannou & Udaibir S Das, 2012. "Sovereign Debt Restructurings 1950-2010; Literature Survey, Data, and Stylized Facts," IMF Working Papers 12/203, International Monetary Fund.
- Ammer, John & Cai, Fang, 2011. "Sovereign CDS and bond pricing dynamics in emerging markets: Does the cheapest-to-deliver option matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(3), pages 369-387, July.
- Michael Adler & Jeong Song, 2010. "The behavior of emerging market sovereigns' credit default swap premiums and bond yield spreads," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 31-58.
- Christian Capuano, 2008. "The Option-iPoD," IMF Working Papers 08/194, International Monetary Fund.
- Christoph Trebesch, 2009. "The Cost of Aggressive Sovereign Debt Policies; How Much is theprivate Sector Affected?," IMF Working Papers 09/29, International Monetary Fund.
More about this item
KeywordsBond markets; Credit risk; Brazil; Risk premium; Prices; International financial markets; Credit default swaps; recovery value; default risk; bond; bonds; arbitrage; bond market; bond spreads; International Lending and Debt Problems;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-06 (All new papers)
- NEP-CFN-2007-01-06 (Corporate Finance)
- NEP-FMK-2007-01-06 (Financial Markets)
- NEP-IAS-2007-01-06 (Insurance Economics)
- NEP-MIC-2007-01-06 (Microeconomics)
- NEP-MST-2007-01-06 (Market Microstructure)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:06/254. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow) or (Hassan Zaidi). General contact details of provider: http://edirc.repec.org/data/imfffus.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.