The Pricing of Credit Default Swaps During Distress
Language: en
Pages: 30
Authors: Jochen R. Andritzky
Categories: Business & Economics
Type: BOOK - Published: 2006-11 - Publisher: International Monetary Fund

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Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as de
IMF Working Papers
Language: en
Pages:
Authors: Jochen R. Andritzky
Categories: Electronic books
Type: BOOK - Published: 2006 - Publisher:

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Credit Default Swaps
Language: en
Pages: 356
Authors: Christopher L. Culp
Categories: Business & Economics
Type: BOOK - Published: 2018-07-12 - Publisher: Springer

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This book, unique in its composition, reviews the academic empirical literature on how CDSs actually work in practice, including during distressed times of mark
Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises
Language: en
Pages: 21
Authors: Mr.Jorge A. Chan-Lau
Categories: Business & Economics
Type: BOOK - Published: 2003-05-01 - Publisher: International Monetary Fund

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In reduced-form pricing models, it is usual to assume a fixed recovery rate to obtain the probability of default from credit default swap prices. An alternative
Credit Default Swaps
Language: en
Pages: 150
Authors: Marti Subrahmanyam
Categories: Business & Economics
Type: BOOK - Published: 2014-12-19 - Publisher: Now Publishers

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Credit Default Swaps: A Survey is the most comprehensive review of all major research domains involving credit default swaps (CDS). CDS have been growing in imp