Overpricing in Emerging Market Credit-Default-Swap Contracts : Some Evidence from Recent Distress Cases

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.
Publication date: June 2005
ISBN: 9781451861440
$15.00
Add to Cart by clicking price of the language and format you'd like to purchase
Available Languages and Formats
English
Prices in red indicate formats that are not yet available but are forthcoming.
Topics covered in this book

This title contains information about the following subjects. Click on a subject if you would like to see other titles with the same subjects.

Finance , recovery value , cheapest-to-deliver bond , credit-default-swap contract , ISDA , bond , bonds , bond prices , present value , bond price , International Lending and Debt Problems , International Law , Litigation Process

Summary