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150128 ||| eng |
020 |
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|a 9781451852912
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100 |
1 |
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|a Chan-Lau, Jorge
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245 |
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|a Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises
|c Jorge Chan-Lau
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260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2003
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300 |
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|a 20 pages
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651 |
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4 |
|a Argentina
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653 |
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|a Economic & financial crises & disasters
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653 |
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|a Interest rates
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653 |
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|a Credit
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653 |
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|a Finance
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653 |
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|a Financial crises
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653 |
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|a Monetary economics
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653 |
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|a Financial services
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653 |
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|a Value of Firms
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653 |
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|a Monetary Policy, Central Banking, and the Supply of Money and Credit: General
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653 |
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|a Yield curve
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653 |
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|a Money
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653 |
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|a International Financial Markets
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653 |
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|a Financial risk management
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653 |
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|a Credit risk
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653 |
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|a Capital and Ownership Structure
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653 |
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|a Goodwill
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653 |
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|a Banks and Banking
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653 |
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|a Financial regulation and supervision
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653 |
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|a Credit default swap
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653 |
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|a Interest Rates: Determination, Term Structure, and Effects
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653 |
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|a Financial Risk and Risk Management
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653 |
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|a Financial Risk Management
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653 |
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|a Financing Policy
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653 |
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|a Money and Monetary Policy
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653 |
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|a Financial services law & regulation
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653 |
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|a Financial Crises
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041 |
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7 |
|a eng
|2 ISO 639-2
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989 |
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|b IMF
|a International Monetary Fund
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490 |
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|a IMF Working Papers
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028 |
5 |
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|a 10.5089/9781451852912.001
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856 |
4 |
0 |
|u https://elibrary.imf.org/view/journals/001/2003/106/001.2003.issue-106-en.xml?cid=16485-com-dsp-marc
|x Verlag
|3 Volltext
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|a 330
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|a 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
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