The Pricing of Credit Default Swaps During Distress (Record no. 152795)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02455nam a22004094a 4500 |
| 001 - CONTROL NUMBER | |
| control field | WPIEA2006254 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | IMF |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20190405165015.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION | |
| fixed length control field | m o d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr cn||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 020129s2006 dcu o i00 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1451865147 : |
| Terms of availability | 18.00 USD |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9781451865141 |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER | |
| International Standard Serial Number | 1018-5941 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.5089/9781451865141.001 |
| Source of number or code | doi |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (IMF)WPIEA2006254 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | DcWaIMF |
| Language of cataloging | eng |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Singh, Manmohan. |
| 245 14 - TITLE STATEMENT | |
| Title | The Pricing of Credit Default Swaps During Distress |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | Manmohan Singh. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc | Washington, D.C. : |
| Name of publisher, distributor, etc | International Monetary Fund, |
| Date of publication, distribution, etc | 2006. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (23 p.) |
| 490 1# - SERIES STATEMENT | |
| Series statement | IMF Working Papers; Working Paper ; |
| Volume number/sequential designation | No. 06/254 |
| 520 3# - SUMMARY, ETC. | |
| Summary, etc | Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose risk spreads are assumed to be the product of default risk and loss rate, CDS are par instruments, and their spreads reflect the partial recovery of the delivered bond's face value. This paper addresses the implications of the difference between bond and CDS spreads and shows the extent to which the recovery assumption matters for determining CDS spreads. A no-arbitrage argument is applied to extract recovery rates from CDS and bond markets, using data from Brazil's distress in 2002-03. Results are related to the observation that preemptive restructurings are now more common than straight defaults in sovereign bond markets and that this leads to a decoupling of CDS and bond spreads. |
| 588 ## - SOURCE OF DESCRIPTION NOTE | |
| Source of description note | Description based on print version record. |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Arbitrage |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Bond Market |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Bond Spreads |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Bond |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Bonds |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Credit Default Swaps |
| Source of heading or term | imf |
| 651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME | |
| Geographic name | Brazil |
| Source of heading or term | imf |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Andritzky, Jochen R. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Singh, Manmohan. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Print Version: |
| Main entry heading | Singh, Manmohan. |
| Title | The Pricing of Credit Default Swaps During Distress |
| Place, publisher, and date of publication | Washington, D.C. : International Monetary Fund, 2006. |
| International Standard Book Number | 9781451865141 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | IMF Working Papers; Working Paper ; |
| Volume number/sequential designation | No. 06/254 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://elibrary.imf.org/view/IMF001/07231-9781451865141/07231-9781451865141/07231-9781451865141.xml">http://elibrary.imf.org/view/IMF001/07231-9781451865141/07231-9781451865141/07231-9781451865141.xml</a> |
| Public note | IMF e-Library |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://www.imfbookstore.org/IMFORG/9781451865141">http://www.imfbookstore.org/IMFORG/9781451865141</a> |
| Public note | IMF Book Store |
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