Credit Default Swaps On Government Debt

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Credit Default Swaps On Government Debt

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Author : United States. Congress. House. Committee on Financial Services. Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises
language : en
Publisher:
Release Date : 2010

Credit Default Swaps On Government Debt written by United States. Congress. House. Committee on Financial Services. Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.

Anticipating Credit Events Using Credit Default Swaps With An Application To Sovereign Debt Crises

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Author : Mr.Jorge A. Chan-Lau
language : en
Publisher: International Monetary Fund
Release Date : 2003-05-01

Anticipating Credit Events Using Credit Default Swaps With An Application To Sovereign Debt Crises written by Mr.Jorge A. Chan-Lau and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-05-01 with Business & Economics categories.

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 Argentina using this methodology shows that the correlation between the maximum recovery rate and implied default probabilities turns negative in advance of the credit event realization. This empirical finding suggests that the maximum recovery rate can be used for constructing early warning indicators of financial distress.

Credit Default Swaps On Government Debt

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Author : United States Congress
language : en
Publisher: Createspace Independent Publishing Platform
Release Date : 2017-10-17

Credit Default Swaps On Government Debt written by United States Congress and has been published by Createspace Independent Publishing Platform this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-17 with categories.

Credit default swaps on government debt: potential implications of the Greek debt crisis : hearing before the Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises of the Committee on Financial Services, U.S. House of Representatives, One Hundred Eleventh Congress, second session, April 29, 2010.

Anticipating Credit Events Using Credit Default Swaps

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Author : Jorge A. Chan-Lau
language : en
Publisher:
Release Date : 2008

Anticipating Credit Events Using Credit Default Swaps written by Jorge A. Chan-Lau and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

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 Argentina using this methodology shows that the correlation between the maximum recovery rate and implied default probabilities turns negative in advance of the credit event realization. This empirical finding suggests that the maximum recovery rate can be used for constructing early warning indicators of financial distress.

Credit Default Swaps On Government Debt

DOWNLOAD
Author : United States. Congress. House. Committee on Financial Services. Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises
language : en
Publisher:
Release Date : 2010

Credit Default Swaps On Government Debt written by United States. Congress. House. Committee on Financial Services. Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.

A Market For End Of The World Insurance Credit Default Swaps On Us Government Debt

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Author : Richard Squire
language : en
Publisher:
Release Date : 2013

A Market For End Of The World Insurance Credit Default Swaps On Us Government Debt written by Richard Squire and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

The market for credit default swaps (CDS) on US government debt is remarkably thin. Relative to the amount of reference debt, the market for CDS on USA is an order of magnitude smaller than the markets for CDS on other high-grade government borrowers, such as Germany and the UK. A common theory for the thinness of the US market is counterparty risk, but this explanation is difficult to reconcile with the privileged position that derivatives counterparties enjoy under US insolvency law. Moreover, the strong correlation between the insolvency risks of the US Treasury and of many financial firms means that sales of CDS on USA could be used opportunistically to transfer expected value from a protection seller's general creditors to its shareholders. While there is no evidence that such correlation-seeking is yet occurring, regulators should not disregard the hazard, which if realized could distort CDS prices and exacerbate the systemic damage caused by a US debt restructuring.

Pricing Of Sovereign Credit Risk

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Author : Mr.Emre Alper
language : en
Publisher: International Monetary Fund
Release Date : 2012-01-01

Pricing Of Sovereign Credit Risk written by Mr.Emre Alper and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-01-01 with Business & Economics categories.

We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market arbitrage relationship between the cash (RAS) and the derivatives (CDS) markets, with price discovery taking place in the latter. Likewise, panel regressions aimed at uncovering the fundamental drivers of the two indicators show that the CDS market, although less liquid, has provided a better signal for sovereign credit risk during the period of the recent financial crisis.

Credit Default Swaps On Government Debt Potential Implications Of The Greek Debt Crisis Serial No 111 130 April 29 2010 111 2 Hearing

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Author : United States. Congress. House. Committee on Financial Services
language : en
Publisher:
Release Date : 2010*

Credit Default Swaps On Government Debt Potential Implications Of The Greek Debt Crisis Serial No 111 130 April 29 2010 111 2 Hearing written by United States. Congress. House. Committee on Financial Services and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010* with categories.

Credit Default Swaps Contract Theory Public Debt And Fiat Money Regimes

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Author : Xavier Méra
language : en
Publisher:
Release Date : 2015

Credit Default Swaps Contract Theory Public Debt And Fiat Money Regimes written by Xavier Méra and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.

In this paper, I show that Polleit and Mariano (2011) are right in concluding that Credit Default Swaps (CDS) are per se unobjectionable from Rothbard's libertarian perspective on property rights and contract theory, but that they fail to derive this conclusion properly. I therefore outline the proper explanation. In addition, though Polleit and Mariano are correct in pointing out that speculation with CDS can conceivably hurt the borrowers' interests, they fail to grasp that this can be the case only in some peculiar circumstances that I identify. In other words, they miss the bigger picture, the one outside special circumstances, in which CDS trading has the opposite effect. That is, CDS facilitate debt accumulation, including government debt accumulation. Finally, I point out how this can precipitate the collapse of fiat money regimes. An incidental goal of the analysis is to provide a better account than Polleit and Mariano of recent government interventions in and around CDS markets.

Sovereign Credit Default Swaps Sovereign Debt And Volatility Transmission Across Emerging Markets

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Author : Byoung Uk Kang
language : en
Publisher:
Release Date : 2012

Sovereign Credit Default Swaps Sovereign Debt And Volatility Transmission Across Emerging Markets written by Byoung Uk Kang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.

This paper uses daily sovereign credit default swap (CDS) prices to investigate how the credit risks of major Latin American reference entities are interlinked. Our empirical findings suggest that the underlying creditworthiness of nations is reflected in the direction of Granger causality and volatility transmission, and in the degree of volatility persistence. These findings are robust when derived from Latin American government bond credit spreads, yet some important differences emerge which indicate that the sovereign CDS market provides a better forum for diversification of credit risk exposure than does the bond market.