European Parliament Library

Overpricing in Emerging Market Credit-Default-Swap Contracts :, Some Evidence from Recent Distress Cases, Jochen Andritzky, Manmohan Singh

Contributor
Abstract
Since recent debt restructurings that constitute credit events have been more frequent than outright defaults, sovereign bond prices may not collapse during distress. In this case, the likely high recovery values after restructuring suggest that the cost of credit-default-swap (CDS) contracts to the buyer (as measured by CDS spreads) may be higher than warranted. We estimate the extent of such overpricing by using the cheapest-to-deliver (CTD) bond as a proxy for the recovery-value assumption
Table Of Contents
""Contents""; ""I. INTRODUCTION""; ""II. CDS SPREADS AS A MEASURE OF THE MARGINAL COST OF BORROWING""; ""III. RESTRUCTURING AS A CREDIT EVENT""; ""IV. RECOVERY VALUE IN THEORY AND PRACTICE""; ""V. METHODOLOGY: A TWO-STEP PROCESS IN CALCULATING CDS SPREADS USING CTD BONDS""; ""VI. CONCLUSION""; ""ANALYTICAL BOX ON CDS PRICING""; ""REFERENCES""
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (14 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781451906806

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