Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises
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 risk measure is proposed here: the maximum recovery rate compatible with observed prices. The analysis of the recent debt crisis in...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
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Washington, D.C
International Monetary Fund
2003
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| Schriftenreihe: | IMF Working Papers
Working Paper No. 03/106 |
| Online-Zugang: | DE-20 DE-824 DE-70 DE-155 DE-29 DE-22 DE-473 DE-1102 DE-703 DE-859 DE-706 DE-384 DE-860 DE-19 DE-739 DE-355 DE-Aug4 DE-1049 DE-12 DE-91 URL des Erstveröffentlichers |
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| indexdate | 2024-12-24T09:26:08Z |
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| language | English |
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| publisher | International Monetary Fund |
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| spellingShingle | Chan-Lau, Jorge A. Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises |
| title | Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises |
| title_auth | Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises |
| title_exact_search | Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises |
| title_full | Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises Chan-Lau, Jorge A |
| title_fullStr | Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises Chan-Lau, Jorge A |
| title_full_unstemmed | Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises Chan-Lau, Jorge A |
| title_short | Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises |
| title_sort | anticipating credit events using credit default swaps with an application to sovereign debt crises |
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