UID:
edocfu_9958072909302883
Format:
1 online resource (14 p.)
ISBN:
1-4623-5084-4
,
1-4527-7841-8
,
1-282-59101-0
,
9786613822659
,
1-4519-0680-3
Series Statement:
IMF working paper ; WP/05/125
Content:
Since recent debt restructurings that constitute credit events have been more frequent than outright defaults, sovereign bond prices may not collapse during distress. In this case, the likely high recovery values after restructuring suggest that the cost of credit-default-swap (CDS) contracts to the buyer (as measured by CDS spreads) may be higher than warranted. We estimate the extent of such overpricing by using the cheapest-to-deliver (CTD) bond as a proxy for the recovery-value assumption.
Note:
"June 2005."
,
""Contents""; ""I. INTRODUCTION""; ""II. CDS SPREADS AS A MEASURE OF THE MARGINAL COST OF BORROWING""; ""III. RESTRUCTURING AS A CREDIT EVENT""; ""IV. RECOVERY VALUE IN THEORY AND PRACTICE""; ""V. METHODOLOGY: A TWO-STEP PROCESS IN CALCULATING CDS SPREADS USING CTD BONDS""; ""VI. CONCLUSION""; ""ANALYTICAL BOX ON CDS PRICING""; ""REFERENCES""
,
English
Additional Edition:
ISBN 1-4518-6144-3
Language:
English
