The use (and abuse) of CDS spreads during distress [[electronic resource] /] / prepared by Manmohan Singh and Carolyne Spackman

• Autore: Siṃha Manamohana
• Pubblicazione: [Washington D.C.], : International Monetary Fund, 2009
• Descrizione fisica: 1 online resource (13 p.)
• Disciplina: 338.267
• Soggetto topico: Credit derivatives; Derivative securities
• Soggetto genere / forma: Electronic books.
• Altri autori: SpackmanCarolyne
• 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
• Titolo autorizzato: The use (and abuse) of CDS spreads during distress
• 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.: 9910464066903321
• Lo trovi qui: Univ. Federico II
• Serie: IMF working paper ; ; WP/09/62.