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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

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

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 …

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

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

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

examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration …

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

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 framework builds on information likely to be collected by financial market regulators for supervisory purposes, and/or information collected by market participants for the purpose...

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

First; A Market-Based Approach to Evaluate Financial System Risk and Stability

Avesani, Renzo G. - International Monetary Fund (IMF) - 2005

This paper presents background work that has been the basis for the development of the market and credit risk indicators (MRI and CRI, respectively) as published in the IMF's Global Financial Stability Report (GFSR) since September 2004. The fundamental idea was to build a set of Financial...

Persistent link: https://www.econbiz.de/10005264101

The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions

Ong, Li L.; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006

The increasing ability to trade credit risk in financial markets has facilitated its dispersion across the financial and other sectors. However, specific risks attached to credit risk transfer (CRT) instruments in a market with still-limited liquidity means that its rapid expansion may actually...

Persistent link: https://www.econbiz.de/10005826449

Credit Derivatives; Systemic Risks and Policy Options?

Kiff, John; Elliott, Jennifer A.; Kazarian, Elias G.; … - International Monetary Fund (IMF) - 2009

Credit derivative markets are largely unregulated, but calls are increasingly being made for changes to this "hands off …. The purpose of this paper is to address two basic questions: (i) do credit derivative markets increase systemic risk; and … of credit derivative markets and recent events, followed by an assessment of their recent association with systemic risk …

Persistent link: https://www.econbiz.de/10008497598

The Systemic Regulation of Credit Rating Agencies and Rated Markets

Sy, Amadou N. R. - International Monetary Fund (IMF) - 2009

Credit ratings have contributed to the current financial crisis. Proposals to regulate credit rating agencies focus on micro-prudential issues and aim at reducing conflicts of interest and increasing transparency and competition. In contrast, this paper argues that macro-prudential regulation is...

Persistent link: https://www.econbiz.de/10008528614

Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices

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

This paper finds that systematic default risk, or the event of widespread defaults in the corporate sector, is an important determinant of equity returns. Moreover, the market price of systematic default risk is one order of magnitude higher than the market price of other risk factors. In...

Persistent link: https://www.econbiz.de/10005605000

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