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Pricing of sovereign credit risk : evidence from advanced economies during the financial crisis

Alper, C. Emre; Forni, Lorenzo; Gerard, Marc - 2012

analysis suggests the existence of an imperfect market arbitrage relationship between the cash (RAS) and the derivatives (CDS …

Persistent link: https://www.econbiz.de/10009423923

The Use (and Abuse) of CDS Spreads During Distress

Spackman, Carolyne - 2009

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...

Persistent link: https://www.econbiz.de/10012677752

New Risk Indicator and Stress Testing Tool : A Multifactor Nth-to-Default CDS Basket

Garcia Pascual, Antonio - 2006

Intro -- Contents -- I. INTRODUCTION -- II. DESCRIPTION OF THE INDICATOR -- III. MODEL DESCRIPTION -- IV. DATA DESCRIPTION -- V. FACTOR ANALYSIS: ESTIMATION RESULTS -- VI. COMPUTATION OF THE PROBABILITIES OF DEFAULT -- VII. SENSITIVITY ANALYSIS -- VIII. STRESS TESTING -- IX. CONCLUDING REMARKS...

Persistent link: https://www.econbiz.de/10012691123

Pricing of Credit Default Swaps During Distress.

Andritzky, Jochen R - 2006

Intro -- 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.

Persistent link: https://www.econbiz.de/10012691130

Idiosyncratic and Systemic Risk in the European Corporate Sector; A CDO Perspective

Lu, Yinqiu; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006

(STCDOs) referencing credit derivatives indices. As an illustration, both risk indicators are constructed for the European …

Persistent link: https://www.econbiz.de/10005263700

A Framework for the Surveillance of Derivative Activities

Gutierrez, Eva - International Monetary Fund (IMF) - 2005

This paper proposes a framework for the surveillance of financial institutions' derivatives activities. The designed …) analyzing quantitative information on Derivatives activities, (ii) determining the adequacy of prudential regulations and … of the derivatives activities of financial institutions. …

Persistent link: https://www.econbiz.de/10005263815

Insurance Value of International Reserves; An Option Pricing Approach

Lee, Jaewoo - International Monetary Fund (IMF) - 2004

A quantitative framework is developed to bring forward the insurance motive of holding international reserves. The insurance value of reserves is quantified as the market price of an equivalent option that provides the same insurance coverage as the reserves. This quantitative framework is...

Persistent link: https://www.econbiz.de/10005264030

An Anatomy of Corporate Bond Markets; Growing Pains and Knowledge Gains

Luengnaruemitchai, Pipat; Ong, Li L. - International Monetary Fund (IMF) - 2005

The objective of this paper is to discuss the key issues relating to the development of local corporate bond markets. We examine the requirements for local corporate bond market development, and compare and contrast experiences across both mature and emerging markets. We suggest that core...

Persistent link: https://www.econbiz.de/10005264116

Operative Principles of Islamic Derivatives; Towards a Coherent Theory

Sole, Juan; Jobst, Andreas - International Monetary Fund (IMF) - 2012

Derivatives are few and far between in countries where the compatibility of financial transactions with Islamic law … underpinning Islamic finance with a view towards developing a cohesive theory of derivatives subject to shari'ahprinciples. After … paper offers an axiomatic perspective on a principle-based permissibility of derivatives under Islamic law. …

Persistent link: https://www.econbiz.de/10009654161

Making Banks Safer; Can Volcker and Vickers Do it?

Chow, Julian T. S.; Surti, Jay - International Monetary Fund (IMF) - 2011

This paper assesses proposals to redefine the scope of activities of systemically important financial institutions. Alongside reform of prudential regulation and oversight, these have been offered as solutions to the too-important-to-fail problem. It is argued that while the more radical of...

Persistent link: https://www.econbiz.de/10009369435