Vai al contenuto principale della pagina

The Use (and Abuse) of CDS Spreads During Distress / / Carolyne Spackman, Manmohan Singh



(Visualizza in formato marc)    (Visualizza in BIBFRAME)

Autore: Spackman Carolyne Visualizza persona
Titolo: The Use (and Abuse) of CDS Spreads During Distress / / Carolyne Spackman, Manmohan Singh Visualizza cluster
Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2009
Descrizione fisica: 1 online resource (13 p.)
Disciplina: 338.267
Soggetto topico: Credit derivatives
Derivative securities
Investments: Bonds
Macroeconomics
Money and Monetary Policy
International Lending and Debt Problems
Banks
Depository Institutions
Micro Finance Institutions
Mortgages
Bankruptcy
Liquidation
Information and Market Efficiency
Event Studies
Financial Institutions and Services: Government Policy and Regulation
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
General Financial Markets: General (includes Measurement and Data)
Price Level
Inflation
Deflation
Monetary Systems
Standards
Regimes
Government and the Monetary System
Payment Systems
Monetary economics
Investment & securities
Credit default swap
Bonds
Asset prices
Currencies
Credit
Money
Financial institutions
Prices
Soggetto geografico: Ecuador
Altri autori: SinghManmohan  
Note generali: Description based upon print version of record.
Nota di bibliografia: Includes bibliographical references.
Nota di contenuto: 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; References
Sommario/riassunto: Credit 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.
Titolo autorizzato: The Use (and Abuse) of CDS Spreads During Distress  Visualizza cluster
ISBN: 1-4623-8806-X
1-4527-7832-9
1-4518-7209-7
9786612842832
1-282-84283-8
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910788338303321
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Serie: IMF Working Papers; Working Paper ; ; No. 2009/062