04358oam 22009854 450 991078840450332120230828235706.01-4623-6493-41-4527-0069-91-283-51509-197866138275481-4519-0967-5(CKB)3360000000443682(EBL)3014383(SSID)ssj0000939926(PQKBManifestationID)11553610(PQKBTitleCode)TC0000939926(PQKBWorkID)10939158(PQKB)10143192(OCoLC)698585633(MiAaPQ)EBC3014383(IMF)WPIEE2006254(EXLCZ)99336000000044368220020129d2006 uf 0engur|n|---|||||txtccrThe Pricing of Credit Default Swaps During Distress /Manmohan Singh, Jochen AndritzkyWashington, D.C. :International Monetary Fund,2006.1 online resource (25 p.)IMF Working Papers"November 2006."1-4518-6514-7 Includes bibliographical references.""Contents""; ""I. INTRODUCTION""; ""II. CDS VALUATION AND THE BASIS""; ""III. THE ROLE OF RECOVERY""; ""IV. DATA ANALYSIS""; ""V. IMPLIED RECOVERY VALUES UNDER NO ARBITRAGE""; ""VI. IMPLIED RECOVERY VALUES UNDER NO ARBITRAGE WITH CTD""; ""VII. CONCLUSIONS""; ""REFERENCES""Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose risk spreads are assumed to be the product of default risk and loss rate, CDS are par instruments, and their spreads reflect the partial recovery of the delivered bond's face value. This paper addresses the implications of the difference between bond and CDS spreads and shows the extent to which the recovery assumption matters for determining CDS spreads. A no-arbitrage argument is applied to extract recovery rates from CDS and bond markets, using data from Brazil's distress in 2002-03. Results are related to the observation that preemptive restructurings are now more common than straight defaults in sovereign bond markets and that this leads to a decoupling of CDS and bond spreads.IMF Working Papers; Working Paper ;No. 2006/254Swaps (Finance)Default (Finance)Banks and BankingimfFinance: GeneralimfInvestments: BondsimfMoney and Monetary PolicyimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfGeneral Financial Markets: General (includes Measurement and Data)imfInterest Rates: Determination, Term Structure, and EffectsimfMonetary economicsimfInvestment & securitiesimfFinanceimfCredit default swapimfBondsimfYield curveimfSecurities marketsimfCreditimfInterest ratesimfCapital marketimfBrazilimfSwaps (Finance)Default (Finance)Banks and BankingFinance: GeneralInvestments: BondsMoney and Monetary PolicyMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralGeneral Financial Markets: General (includes Measurement and Data)Interest Rates: Determination, Term Structure, and EffectsMonetary economicsInvestment & securitiesFinanceCredit default swapBondsYield curveSecurities marketsCreditInterest ratesCapital marketSingh Manmohan1464153Andritzky Jochen1556422DcWaIMFBOOK9910788404503321The Pricing of Credit Default Swaps During Distress3850016UNINA