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  • Search: subject:"Subordinated CDS"
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Year of publication
Subject
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Credit Default Swap 1 Japanese Banks 1 Loss Given Default 1 Sovereign CDS 1 Subordinated CDS 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Baba, Naohiko 1 Ueno, Yoichi 1
Institution
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Bank of Japan 1
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Bank of Japan Working Paper Series 1
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RePEc 1
Showing 1 - 1 of 1
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Default Intensity and Expected Recovery of Japanese Banks and "Government": New Evidence from the CDS Market
Ueno, Yoichi; Baba, Naohiko - Bank of Japan - 2006
identify the difference in the expected recovery ratios between senior and subordinated CDS contracts. Estimation results are … crisis since the late 1990s. (ii) The expected recovery ratios for subordinated CDS contracts are significantly smaller than …
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