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010   $a9786613827548
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035   $a(OCoLC)698585633
035   $a(IMF)WPIEE2006254
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100   $a20060502d2006      uf         0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 14$aThe pricing of credit default swaps during distress /$fprepared by Jochen Andritzky and Manmohan Singh
205   $a1st ed.
210   $a[Washington, D.C.] $cInternational Monetary Fund$dc2006
215   $a1 online resource (25 p.)
225 1 $aIMF working paper ;$vWP/06/254
300   $a"November 2006."
311   $a1-4518-6514-7 
320   $aIncludes bibliographical references.
327   $a""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""
330 3 $aCredit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose risk spreads are assumed to be the product of default risk and loss rate, CDS are par instruments, and their spreads reflect the partial recovery of the delivered bond's face value. This paper addresses the implications of the difference between bond and CDS spreads and shows the extent to which the recovery assumption matters for determining CDS spreads. A no-arbitrage argument is applied to extract recovery rates from CDS and bond markets, using data from Brazil's distress in 2002-03. Results are related to the observation that preemptive restructurings are now more common than straight defaults in sovereign bond markets and that this leads to a decoupling of CDS and bond spreads.
410  0$aIMF working paper ;$vWP/06/254.
606   $aSwaps (Finance)
606   $aDefault (Finance)
615  0$aSwaps (Finance)
615  0$aDefault (Finance)
700   $aAndritzky$b Jochen R$01673970
701   $aSimha$b Manamohana$01753673
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910825686803321
996   $aThe pricing of credit default swaps during distress$94189642
997   $aUNINA