Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises

Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises
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... READ MORE...

Publication date: May 2003
ISBN 9781451852912
$15.00

Add to Cart by clicking price of the language and format you'd like to purchase

Available Languages and Formats

Paperback

Publication date: May 2003

PDF

Publication date: May 2003

ePub

Publication date: May 2003

Mobi

Publication date: May 2003

English