The Use (and Abuse) of CDS Spreads During Distress
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References listed on IDEAS
- Houweling, Patrick & Vorst, Ton, 2005. "Pricing default swaps: Empirical evidence," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1200-1225, December.
- Jun Pan & Kenneth J. Singleton, 2008. "Default and Recovery Implicit in the Term Structure of Sovereign "CDS" Spreads," Journal of Finance, American Finance Association, vol. 63(5), pages 2345-2384, October.
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- Virginie Coudert & Mathieu Gex, 2010. "Le règlement des défauts sur le marché des credit default swaps : le cas de Lehman Brothers," Revue d'Économie Financière, Programme National Persée, vol. 97(2), pages 15-34.
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KeywordsFinancial institutions; Cheapest-to-deliver bonds; Credit risk; Bond markets; Bankruptcy; Asset prices; Risk premium; CDS spreads during distress; stochastic recovery rate; probability of default; and financial institutions.; bond; bonds; probability; probabilities;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-02 (All new papers)
- NEP-FMK-2009-05-02 (Financial Markets)
- NEP-RMG-2009-05-02 (Risk Management)
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