Market Signals and the Cost of Credit Risk Protection: An Analysis of CDS Settlement Auctions

Market Signals and the Cost of Credit Risk Protection: An Analysis of CDS Settlement Auctions
We study the link between the probability of default implied by Credit Default Swaps (CDS) spreads and the final prices of the defaulted bonds as established at the CDS settlement auctions. We observe that the post-default recovery rates at the observed spreads imply markets were often "surprised" by the credit event. We find that the prices of... READ MORE...

Publication date: December 2014
ISBN 9781498389471
$18.00

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