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010   $a9786612842832
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100   $a20041202d2009      uf             0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 14$aThe use (and abuse) of CDS spreads during distress$b[electronic resource] /$fprepared by Manmohan Singh and Carolyne Spackman
210   $a[Washington D.C.] $cInternational Monetary Fund$d2009
215   $a1 online resource (13 p.)
225 1 $aIMF working paper ;$vWP/09/62
300   $aDescription based upon print version of record.
311   $a1-4519-1644-2 
320   $aIncludes bibliographical references.
327   $aContents; 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; References
330   $aCredit Default Swap spreads have been used as a leading indicator of distress. Default probabilities can be extracted from CDS spreads, but during distress it is important to take account of the stochastic nature of recovery value. The recent episodes of Landbanski, WAMU and Lehman illustrate that using the industry-standard fixed recovery rate assumption gives default probabilities that are low relative to those extracted from stochastic recovery value as proxied by the cheapest-to-deliver bonds. Financial institutions using fixed rate recovery assumptions could have a false sense of security
410  0$aIMF working paper ;$vWP/09/62.
606   $aCredit derivatives
606   $aDerivative securities
608   $aElectronic books.
615  0$aCredit derivatives.
615  0$aDerivative securities.
676   $a338.267
700   $aSim?ha$b Manamohana$0856990
701   $aSpackman$b Carolyne$0873074
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910464066903321
996   $aThe use (and abuse) of CDS spreads during distress$91948846
997   $aUNINA