登入
選單
返回
Google圖書搜尋
Market Signals and the Cost of Credit Risk Protection
Ms.Luisa Zanforlin
Nobuyuki Kanazawa
其他書名
An Analysis of CDS Settlement Auctions
出版
International Monetary Fund
, 2014-12-24
主題
Business & Economics / Money & Monetary Policy
Business & Economics / Investments & Securities / Bonds
Business & Economics / Economics / Macroeconomics
ISBN
1498349064
9781498349062
URL
http://books.google.com.hk/books?id=DsTFBgAAQBAJ&hl=&source=gbs_api
EBook
SAMPLE
註釋
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 the bonds that are deliverable at the auctions imply probabilities of default that are systematically different than the default probabilities estimated prior to the event of default using standard methodologies. We discuss the implications for CDS pricing models. We analyze the discrepancy between the actual and theoretical CDS spreads and we find it is significantly associated both to the CDS market microstructure at the time of the settlement auction and to the general macroeconomic background. We discuss the potential for strategic bidding behavior at the CDS settlement auctions.