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.
- Houweling, P. & Vorst, A.C.F., 2003. "Pricing default swaps: empirical evidence," Econometric Institute Research Papers EI 2003-51, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- 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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- Mr. Manmohan Singh & Karim Youssef, 2010. "Price of Risk: Recent Evidence From Large Financials," IMF Working Papers 2010/190, International Monetary Fund.
- 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.
- James Aitken & Mr. Manmohan Singh, 2009. "Counterparty Risk, Impacton Collateral Flows and Role for Central Counterparties," IMF Working Papers 2009/173, International Monetary Fund.
- Mr. Manmohan Singh & Mr. Mohsan Bilal, 2012. "CDS Spreads in European Periphery: Some Technical Issues to Consider," IMF Working Papers 2012/077, International Monetary Fund.
- Sorin Gabriel Anton, 2011. "The Local Determinants Of Emerging Market Sovereign Cds Spreads In The Context Of The Debt Crisis. An Explanatory Study "," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 58, pages 41-52, november.
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Keywords
WP; CTD bond price information; CDS market; credit event; market; value; CDS spreads during distress; stochastic recovery rate; probability of default; cheapest-to-deliver bonds; and financial institutions.; CDS spread; CDS contract; CDS settlement; Credit default swap; Bonds; Asset prices; Currencies; Credit; Global;All these keywords.
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