02775nam 2200601Ia 450 991046406690332120170821160723.01-4623-8806-X1-4527-7832-91-4518-7209-797866128428321-282-84283-8(CKB)3170000000055233(EBL)1608234(SSID)ssj0000939942(PQKBManifestationID)11596388(PQKBTitleCode)TC0000939942(PQKBWorkID)10937986(PQKB)11101171(OCoLC)518508975(MiAaPQ)EBC1608234(EXLCZ)99317000000005523320041202d2009 uf 0engur|n|---|||||txtccrThe use (and abuse) of CDS spreads during distress[electronic resource] /prepared by Manmohan Singh and Carolyne Spackman[Washington D.C.] International Monetary Fund20091 online resource (13 p.)IMF working paper ;WP/09/62Description based upon print version of record.1-4519-1644-2 Includes bibliographical references.Contents; I. Introduction; II. Recent Distress in Financial Institutions; Figures; 1. Landsbanki; 2. Washington Mutual; 3. Lehman Brothers; III. Policy Implications of Using Stochastic Recovery; Table 1. CDS Settlements Determined Under the ISDA Cash Opt-in Protocol; Box 1. Ecuador ISDA Auction; Appendix I. Recovery Swaps, or Where the Ctd Bonds End Up; ReferencesCredit Default Swap spreads have been used as a leading indicator of distress. Default probabilities can be extracted from CDS spreads, but during distress it is important to take account of the stochastic nature of recovery value. The recent episodes of Landbanski, WAMU and Lehman illustrate that using the industry-standard fixed recovery rate assumption gives default probabilities that are low relative to those extracted from stochastic recovery value as proxied by the cheapest-to-deliver bonds. Financial institutions using fixed rate recovery assumptions could have a false sense of securityIMF working paper ;WP/09/62.Credit derivativesDerivative securitiesElectronic books.Credit derivatives.Derivative securities.338.267Sim̀£ha Manamohana856990Spackman Carolyne873074MiAaPQMiAaPQMiAaPQBOOK9910464066903321The use (and abuse) of CDS spreads during distress1948846UNINA