LEADER 05692oam 22013934 450 001 9910827479003321 005 20240402051111.0 010 $a1-4623-8806-X 010 $a1-4527-7832-9 010 $a1-4518-7209-7 010 $a9786612842832 010 $a1-282-84283-8 035 $a(CKB)3170000000055233 035 $a(EBL)1608234 035 $a(SSID)ssj0000939942 035 $a(PQKBManifestationID)11596388 035 $a(PQKBTitleCode)TC0000939942 035 $a(PQKBWorkID)10937986 035 $a(PQKB)11101171 035 $a(OCoLC)518508975 035 $a(IMF)WPIEE2009062 035 $a(MiAaPQ)EBC1608234 035 $a(EXLCZ)993170000000055233 100 $a20020129d2009 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 /$fCarolyne Spackman, Manmohan Singh 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2009. 215 $a1 online resource (13 p.) 225 1 $aIMF Working Papers 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 3 $aCredit Default Swap spreads have been used as a leading indicator of distress. Default probabilities can be extracted from CDS spreads, but during distress it is important to take account of the stochastic nature of recovery value. The recent episodes of Landbanski, WAMU and Lehman illustrate that using the industry-standard fixed recovery rate assumption gives default probabilities that are low relative to those extracted from stochastic recovery value as proxied by the cheapest-to-deliver bonds. Financial institutions using fixed rate recovery assumptions could have a false sense of security, and could be faced with outsized losses with potential knock-on effects for other institutions. To ensure effective oversight of financial institutions, and to monitor the stability of the global financial system especially during distress, the stochastic nature of recovery rates needs to be incorporated. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2009/062 606 $aCredit derivatives 606 $aDerivative securities 606 $aInvestments: Bonds$2imf 606 $aMacroeconomics$2imf 606 $aMoney and Monetary Policy$2imf 606 $aInternational Lending and Debt Problems$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aBankruptcy$2imf 606 $aLiquidation$2imf 606 $aInformation and Market Efficiency$2imf 606 $aEvent Studies$2imf 606 $aFinancial Institutions and Services: Government Policy and Regulation$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aPrice Level$2imf 606 $aInflation$2imf 606 $aDeflation$2imf 606 $aMonetary Systems$2imf 606 $aStandards$2imf 606 $aRegimes$2imf 606 $aGovernment and the Monetary System$2imf 606 $aPayment Systems$2imf 606 $aMonetary economics$2imf 606 $aInvestment & securities$2imf 606 $aCredit default swap$2imf 606 $aBonds$2imf 606 $aAsset prices$2imf 606 $aCurrencies$2imf 606 $aCredit$2imf 606 $aMoney$2imf 606 $aFinancial institutions$2imf 606 $aPrices$2imf 607 $aEcuador$2imf 615 0$aCredit derivatives. 615 0$aDerivative securities. 615 7$aInvestments: Bonds 615 7$aMacroeconomics 615 7$aMoney and Monetary Policy 615 7$aInternational Lending and Debt Problems 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aBankruptcy 615 7$aLiquidation 615 7$aInformation and Market Efficiency 615 7$aEvent Studies 615 7$aFinancial Institutions and Services: Government Policy and Regulation 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aPrice Level 615 7$aInflation 615 7$aDeflation 615 7$aMonetary Systems 615 7$aStandards 615 7$aRegimes 615 7$aGovernment and the Monetary System 615 7$aPayment Systems 615 7$aMonetary economics 615 7$aInvestment & securities 615 7$aCredit default swap 615 7$aBonds 615 7$aAsset prices 615 7$aCurrencies 615 7$aCredit 615 7$aMoney 615 7$aFinancial institutions 615 7$aPrices 676 $a338.267 700 $aSpackman$b Carolyne$01681943 701 $aSingh$b Manmohan$01631304 801 0$bDcWaIMF 906 $aBOOK 912 $a9910827479003321 996 $aThe Use (and Abuse) of CDS Spreads During Distress$94051693 997 $aUNINA