The Resource Are credit default swap spreads high in emerging markets? : an alternative methodology for proxing recovery value, Manmohan Singh

Are credit default swap spreads high in emerging markets? : an alternative methodology for proxing recovery value, Manmohan Singh

Label
Are credit default swap spreads high in emerging markets? : an alternative methodology for proxing recovery value
Title
Are credit default swap spreads high in emerging markets?
Title remainder
an alternative methodology for proxing recovery value
Statement of responsibility
Manmohan Singh
Creator
Author
Subject
Language
eng
Summary
In times of distress when a country loses access to markets, there is evidence that credit default swap (CDS) spreads are a leading indicator for sovereign risk than the EMBI+ sub-index for the country. However, it is not easy to discern the variables that determine the level of CDS spreads in Emerging Markets (EM); traders only quote the CDS spreads and not the inputs that are required to calculate such spreads. This note provides some evidence from Argentina and Brazil that reveals inconsistency between theory and practice in pricing CDS spreads in EM. This note suggests an alternate methodology that links CTD (cheapest-to-deliver) bonds to recovery values assumed in CDS contracts. Furthermore, special features that pertain to CDS contracts (repo specialness, short squeezes by central banks) may also magnify the financial distress of a sovereign
Member of
Cataloging source
VT2
Dewey number
332.45
Illustrations
illustrations
Index
no index present
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
IMF working paper
Series volume
WP/03/242
Label
Are credit default swap spreads high in emerging markets? : an alternative methodology for proxing recovery value, Manmohan Singh
Publication
Copyright
Bibliography note
Includes bibliographical references
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Control code
ocn930840410
Dimensions
unknown
Extent
1 online resource (8 pages)
Form of item
online
Isbn
9781451875836
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
illustrations, tables, graphs
http://library.link/vocab/recordID
.b37167571
Specific material designation
remote
System control number
  • (OCoLC)930840410
  • imf1451875835

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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