Download or read book Credit Default Swaps on Government Debt written by United States. Congress. House. Committee on Financial Services. Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises and published by . This book was released on 2010 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Anticipating Credit Events Using Credit Default Swaps with An Application to Sovereign Debt Crises written by Mr.Jorge A. Chan-Lau and published by International Monetary Fund. This book was released on 2003-05-01 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 correlation between the maximum recovery rate and implied default probabilities turns negative in advance of the credit event realization. This empirical finding suggests that the maximum recovery rate can be used for constructing early warning indicators of financial distress.
Download or read book Credit Default Swaps on Government Debt written by United States Congress and published by Createspace Independent Publishing Platform. This book was released on 2017-10-17 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit default swaps on government debt: potential implications of the Greek debt crisis : hearing before the Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises of the Committee on Financial Services, U.S. House of Representatives, One Hundred Eleventh Congress, second session, April 29, 2010.
Download or read book Credit Default Swaps on Government Debt written by United States. Congress. House. Committee on Financial Services. Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Market for End of The World Insurance Credit Default Swaps on US Government Debt written by Richard Squire and published by . This book was released on 2013 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: The market for credit default swaps (CDS) on US government debt is remarkably thin. Relative to the amount of reference debt, the market for CDS on USA is an order of magnitude smaller than the markets for CDS on other high-grade government borrowers, such as Germany and the UK. A common theory for the thinness of the US market is counterparty risk, but this explanation is difficult to reconcile with the privileged position that derivatives counterparties enjoy under US insolvency law. Moreover, the strong correlation between the insolvency risks of the US Treasury and of many financial firms means that sales of CDS on USA could be used opportunistically to transfer expected value from a protection seller's general creditors to its shareholders. While there is no evidence that such correlation-seeking is yet occurring, regulators should not disregard the hazard, which if realized could distort CDS prices and exacerbate the systemic damage caused by a US debt restructuring.
Download or read book Credit Default Swaps written by Marti Subrahmanyam and published by Now Publishers. This book was released on 2014-12-19 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit Default Swaps: A Survey is the most comprehensive review of all major research domains involving credit default swaps (CDS). CDS have been growing in importance in the global financial markets. However, their role has been hotly debated, in industry and academia, particularly since the credit crisis of 2007-2009. The authors review the extant literature on CDS that has accumulated over the past two decades and divide the survey into seven topics after providing a broad overview in the introduction. The second section traces the historical development of CDS markets and provides an introduction to CDS contract definitions and conventions. The third section discusses the pricing of CDS, from the perspective of no-arbitrage principles, structural, and reduced-form credit risk models. It also summarizes the literature on the determinants of CDS spreads, with a focus on the role of fundamental credit risk factors, liquidity and counterparty risk. The fourth section discusses how the development of the CDS market has affected the characteristics of the bond and equity markets, with an emphasis on market efficiency, price discovery, information flow, and liquidity. Attention is also paid to the CDS-bond basis, the wedge between the pricing of the CDS and its reference bond, and the mispricing between the CDS and the equity market. The fifth section examines the effect of CDS trading on firms' credit and bankruptcy risk, and how it affects corporate financial policy, including bond issuance, capital structure, liquidity management, and corporate governance. The sixth section analyzes how CDS impact the economic incentives of financial intermediaries. The seventh section reviews the growing literature on sovereign CDS and highlights the major differences between the sovereign and corporate CDS markets. The eighth section discusses CDS indices, especially the role of synthetic CDS index products backed by residential mortgage-backed securities during the financial crisis. The authors close with our suggestions for promising future research directions on CDS contracts and markets.
Download or read book Pricing of Sovereign Credit Risk written by Mr.Emre Alper and published by International Monetary Fund. This book was released on 2012-01-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market arbitrage relationship between the cash (RAS) and the derivatives (CDS) markets, with price discovery taking place in the latter. Likewise, panel regressions aimed at uncovering the fundamental drivers of the two indicators show that the CDS market, although less liquid, has provided a better signal for sovereign credit risk during the period of the recent financial crisis.
Download or read book Anticipating Credit Events Using Credit Default Swaps written by Jorge A. Chan-Lau and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 correlation between the maximum recovery rate and implied default probabilities turns negative in advance of the credit event realization. This empirical finding suggests that the maximum recovery rate can be used for constructing early warning indicators of financial distress.
Download or read book Impact of Government Bonds Spreads on Credit Derivatives written by Verena Anna Berger and published by Springer. This book was released on 2017-11-30 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: Verena Anna Berger investigates the question to what extent credit default swap spreads are impacted by an increase of government bond yields within the European area. In the first step, these spreads are computed with the help of the Hull-White model to demonstrate the theoretical calculation. The main findings which are calculated by using the Fontana-Scheicher model show that a negative impact on credit default swap spreads is observed based on the analysed data. However, there is high variation between the analysed countries so that a country-specific evaluation instead of a general review is recommended by the author.
Download or read book Credit Default Swaps on Government Debt Potential Implications of the Greek Debt Crisis Serial No 111 130 April 29 2010 111 2 Hearing written by United States. Congress. House. Committee on Financial Services and published by . This book was released on 2010* with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Sovereign Credit Default Swaps Sovereign Debt and Volatility Transmission Across Emerging Markets written by Byoung Uk Kang and published by . This book was released on 2012 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses daily sovereign credit default swap (CDS) prices to investigate how the credit risks of major Latin American reference entities are interlinked. Our empirical findings suggest that the underlying creditworthiness of nations is reflected in the direction of Granger causality and volatility transmission, and in the degree of volatility persistence. These findings are robust when derived from Latin American government bond credit spreads, yet some important differences emerge which indicate that the sovereign CDS market provides a better forum for diversification of credit risk exposure than does the bond market.
Download or read book Credit Default Swaps Contract Theory Public Debt and Fiat Money Regimes written by Xavier Méra and published by . This book was released on 2015 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, I show that Polleit and Mariano (2011) are right in concluding that Credit Default Swaps (CDS) are per se unobjectionable from Rothbard's libertarian perspective on property rights and contract theory, but that they fail to derive this conclusion properly. I therefore outline the proper explanation. In addition, though Polleit and Mariano are correct in pointing out that speculation with CDS can conceivably hurt the borrowers' interests, they fail to grasp that this can be the case only in some peculiar circumstances that I identify. In other words, they miss the bigger picture, the one outside special circumstances, in which CDS trading has the opposite effect. That is, CDS facilitate debt accumulation, including government debt accumulation. Finally, I point out how this can precipitate the collapse of fiat money regimes. An incidental goal of the analysis is to provide a better account than Polleit and Mariano of recent government interventions in and around CDS markets.
Download or read book The World Scientific Handbook of Futures Markets written by Anastasios G. E. T. Al MALLIARIS and published by World Scientific. This book was released on 2015-08-06 with total page 844 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The World Scientific Handbook of Futures Markets serves as a definitive source for comprehensive and accessible information in futures markets. The emphasis is on the unique characteristics of futures markets that make them worthy of a special volume. In our judgment, futures markets are currently undergoing remarkable changes as trading is shifting from open outcry to electronic and as the traditional functions of hedging and speculation are extended to include futures as an alternative investment vehicle in traditional portfolios. The unique feature of this volume is the selection of five classic papers that lay the foundations of the futures markets and the invitation to the leading academics who do work in the area to write critical surveys in a dozen important topics."--$cProvided by publisher.
Download or read book Collateralized Debt Obligations written by Douglas J. Lucas and published by John Wiley & Sons. This book was released on 2006-08-04 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since first edition's publication, the CDO market has seen tremendous growth. As of 2005, $1.1 trillion of CDOs were outstanding -- making them the fastest-growing investment vehicle of the last decade. To help you keep up with this expanding market and its various instruments, Douglas Lucas, Laurie Goodman, and Frank Fabozzi have collaborated to bring you this fully revised and up-to-date new edition of Collateralized Debt Obligations. Written in a clear and accessible style, this valuable resource provides critical information regarding the evolving nature of the CDO market. You'll find in-depth insights gleaned from years of investment and credit experience as well as the examination of a wide range of issues, including cash CDOs, loans and CLOs, structured finance CDOs and collateral review, emerging market and market value CDOs, and synthetic CDOs. Use this book as your guide and take advantage of this dynamic market and its products.
Download or read book Sovereign Debt Renegotiation and Credit Default Swaps written by Juliana Salomao and published by . This book was released on 2020 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: A credit default swap (CDS) contract provides insurance against default. After a country defaults, the country and its lenders usually negotiate over the share of the defaulted debt to be repaid. This paper incorporates CDS contracts into a sovereign default model and demonstrates that the existence of a CDS market results in lower default probability, higher debt levels, and lower financing costs for the country. Since the CDS payout is not automatically triggered by losses from renegotiations, the lender needs to be compensated for lower expected insurance payments. This leads to higher debt repayment in renegotiation, decreasing the benefits of defaulting, and hence allowing the country to borrow more at lower rates. Uncertainty over the insurance payout when the debt is renegotiated explains why in the data, as the output declines, the CDS spread becomes lower than the bond spread. Furthermore, this pricing dynamic during a debt crisis can be used to infer market perceptions of the probability of the CDS paying out after a renegotiation. The model is calibrated to Greek data, the results show that increasing CDS levels from 0 to 5% of debt lowers the unconditional default probability from 2.6% to 2.0% per year with no impact on debt level. Further increasing the CDS to 40% of debt increases the equilibrium debt level by 15%.
Download or read book Sovereign Debt Restructurings 1950 2010 written by Mr.Udaibir S. Das and published by International Monetary Fund. This book was released on 2012-08-01 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a comprehensive survey of pertinent issues on sovereign debt restructurings, based on a newly constructed database. This is the first complete dataset of sovereign restructuring cases, covering the six decades from 1950–2010; it includes 186 debt exchanges with foreign banks and bondholders, and 447 bilateral debt agreements with the Paris Club. We present new stylized facts on the outcome and process of debt restructurings, including on the size of haircuts, creditor participation, and legal aspects. In addition, the paper summarizes the relevant empirical literature, analyzes recent restructuring episodes, and discusses ongoing debates on crisis resolution mechanisms, credit default swaps, and the role of collective action clauses.
Download or read book How Credit Default Swaps Affect Sovereign Debt written by Pantelis E. Thalassinos and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
