Pricing of Credit Default Swaps During Distress.

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.

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Year of publication:	2006
Authors:	Andritzky, Jochen R
Other Persons:	Singh, Manmohan (contributor)
Publisher:	Washington : International Monetary Fund
Subject:	Kreditderivat \| Credit derivative \| Kreditversicherung \| Credit insurance \| Kreditrisiko \| Credit risk \| Insolvenz \| Insolvency \| Swap

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Extent:	1 online resource (25 pages)
Series:	IMF Working Papers IMF working paper ; WP/06/254
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based on publisher supplied metadata and other sources. ""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""
ISBN:	978-1-4519-0967-8 ; 978-1-4518-6514-1
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012691130