The Pricing of Credit Default Swaps During Distress

The Pricing of Credit Default Swaps During Distress
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... READ MORE...

Publication date: November 2006
ISBN 9781451865141
$18.00

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Publication date: November 2006

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Publication date: November 2006

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